I think I've found an arbitrage opportunity. Right now, I can do this (first via CME, second via SAXO) :
BUY CADUSD AMERICAN PUT 10200 STRIKE EXPIRING 16 MAR 2011 FOR 53 pips USD
SELL USDCAD EUROPEAN CALL 0.9805 STRIKE EXPIRING 16 MAR 2011 FOR 68 pips CAD
The first trade costs me 530 USD, the second one gives me 680 CAD, for a net profit of 163.52 USD (assuming USDCAD at 0.9805). Now:
If USDCAD decreases (meaning CADUSD increases), both options expire worthless.
If USDCAD increases (meaning CADUSD decreases), it appears that my long put gains value faster than my short call (just barely, due to the currency difference).
Is there something I'm not seeing here?
Of course, the prices I'm seeing might not be tradeable, and there are some minor expiration date issues, but, assuming I could do this, is it arbitrage?