Derivatives
Cross Volga
April 9, 2022
Derivatives
Skew Greek
April 9, 2022

A potentially riskless transaction which involves taking a long position in a spot asset (i.e., carrying that asset) and a short position in a futures contract on that asset. It constitutes the difference (arbitrage) between spot and futures prices of the same underlying.

It is also known as cash-and-carry arbitrage.

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