Carry Arbitrage
Cash-and-carry, triangular, and municipal bond arbitrage terms used in futures, FX, and tax-exempt bond analysis.
Arbitrage and relative-value strategies compare related prices, contracts, spreads, and events to test whether a tradable mispricing exists after costs and risk.
Arbitrage and relative-value strategies look for price differences between related instruments, markets, events, or contracts. A real opportunity must survive financing costs, transaction costs, bid-ask spreads, margin, liquidity, taxes, settlement timing, operational risk, and model error.
Use this section as the map for the site’s arbitrage coverage. Core arbitrage terms explain the basic concept and the role of the arbitrageur. Cash-carry, triangular, and bond arbitrage covers spot-futures, FX cross-rate, and municipal tax-compliance cases. Deal, convertible, and risk arbitrage covers event-driven and capital-structure trades. Market-neutral and statistical arbitrage covers model-driven spread, volatility, and latency-sensitive strategies.
| Family | Main question | Typical evidence |
|---|---|---|
| Core arbitrage | Is a price difference executable after costs? | Quotes, costs, order book, settlement path, position records |
| Cash-and-carry | Is a futures or forward price rich or cheap versus spot plus carry? | Spot price, futures price, financing, storage, income, margin, delivery terms |
| Triangular arbitrage | Do three FX quotes imply an inconsistent cross-rate? | Executable bid/ask quotes, size, latency, counterparty limits, settlement timing |
| Deal and risk arbitrage | Is the market mispricing event probability, timing, or break risk? | Transaction documents, SEC filings, approvals, financing, hedge ratios |
| Convertible arbitrage | Is a convertible security mispriced versus stock, credit, rates, and volatility? | Indenture, conversion terms, bond price, stock borrow, delta, credit spread |
| Statistical arbitrage | Does a model identify a repeatable relative-value signal? | Data history, model code, backtest, live fills, borrow, slippage, risk limits |
An arbitrage label is useful only when it changes the analysis. A reader should be able to identify:
Do not treat arbitrage as a synonym for a certain return. Many real-world arbitrage trades involve basis risk, model risk, leverage, borrow recalls, failed hedges, execution slippage, tax uncertainty, or a deal that does not close.
Do not assume every page in this section is a trading strategy. Arbitrage Bond is mainly a U.S. municipal tax-compliance term, not a normal trading strategy.
For futures and carry mechanics, see CFTC education pages on futures market basics and the economic purpose of futures markets. For public-company event trades, use SEC EDGAR and relevant transaction filings. For algorithmic and high-speed market structure, SEC and FINRA materials on algorithmic trading and market structure provide useful regulatory context.
Choose a subsection first. Deeper term pages live inside each subsection, which keeps large topic hubs readable.
Cash-and-carry, triangular, and municipal bond arbitrage terms used in futures, FX, and tax-exempt bond analysis.
Core arbitrage terms covering arbitrage, arbitrageurs, negative arbitrage, and arbitrage pricing theory.
Event-driven and capital-structure arbitrage terms used to analyze merger spreads, convertible hedges, and deal-completion risk.
Systematic relative-value strategies that use models, hedges, volatility, and execution speed to trade short-lived pricing relationships.