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Triangular Arbitrage Question
- Thread starter max_w
- Start date
Quote from drownpruf:
And there was no penalty for going out on duration. The difference between a 1W 40D and a 5W 40D was like 5bp. I would've arbed the term structure but the things were free money as outrights.
That seems really bad on Oanda's part. I never got to play around with the boxes that much, as this happened about a month after I started getting into it.
Was it only small windows of opportunity on these mispricings? I wonder how many others (if any) caught onto it. I know you were doing the fwd-start touch boxes for what seemed like a decent amount of time though.
Quote from contra:
Was it only small windows of opportunity on these mispricings? I wonder how many others (if any) caught onto it. I know you were doing the fwd-start touch boxes for what seemed like a decent amount of time though.
No, it actually got better with time, then they issued the press release. The corridors were ok, but these were not the fwd-starts. These were near-ATM touches priced as digitals. Obviously (for those who are unclear) you cannot price a true ATM touch. You drew a skinny horizontal hit out from 5-minutes to 5W at say 30 pips under EURUSD spot... and it paid 70/100. That's a generic example of the edge.
Quote from drownpruf:
No, it actually got better with time, then they issued the press release. The corridors were ok, but these were not the fwd-starts. These were near-ATM touches priced as digitals. Obviously (for those who are unclear) you cannot price a true ATM touch. You drew a skinny horizontal hit out from 5-minutes to 5W at say 30 pips under EURUSD spot... and it paid 70/100. That's a generic example of the edge.
ahh ok... that's even crazier then I thought. dammit... nice find man.
I know this thread is dead. Just wanted to let people know that forex arbitrage is heavily frowned upon. If your broker allows it chances are you are not going to make money doing it because of spreads and trading costs. If you somehow get over that issue and start making money, they will shut you down because arbitrage is considered toxic flow. It hurts your broker's relationships with the banks.
Don't do it. I tried.
Don't do it. I tried.