Hereâs one for all those would-be algo traders out there â the euro-denominated e-mini S&P 500 contract, has seen a sudden and unexpected upsurge in trading in the last few days.
Hereâs a breakdown of recent activity courtesy of the CME:
The CMEâs thoughts on what might be behind the sudden demand for the euro-priced contract?
From what we can see, this looks like index traders using the Euro-denominated contract in conjunction with the dollar-denominated one to gain a little exposure to Euro volatility vs the dollar.
So thatâs at least one good old-fashioned index arbitrage opportunity spotted.
Any arbitrageurs out there ?[/b]
http://ftalphaville.ft.com/blog/2010/03/15/175441/sp-euro-index-arbitrage-at-work/
Hereâs a breakdown of recent activity courtesy of the CME:
The CMEâs thoughts on what might be behind the sudden demand for the euro-priced contract?
From what we can see, this looks like index traders using the Euro-denominated contract in conjunction with the dollar-denominated one to gain a little exposure to Euro volatility vs the dollar.
So thatâs at least one good old-fashioned index arbitrage opportunity spotted.
Any arbitrageurs out there ?[/b]
http://ftalphaville.ft.com/blog/2010/03/15/175441/sp-euro-index-arbitrage-at-work/