Here’s one for all those would-be algo traders out there – the euro-denominated e-mini S&P 500 contract, has seen a sudden and unexpected upsurge in trading in the last few days.

Here’s a breakdown of recent activity courtesy of the CME:

The CME’s 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 that’s at least one good old-fashioned index arbitrage opportunity spotted.

Related links:
GBP under attack – FT Alphaville

This entry was posted by Izabella Kaminska on Monday, March 15th, 2010 at 14:20 and is filed under Capital markets. Tagged with cme, euro, euro-denominated e-mini S&P 500 contract, s&p 500. Edit this entry.