Rolling Trade Transaction Arbitrage

arabianights

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Can anyone think of any instruments where the premium paid for holding the position is wider than the spread, making it possible to make money in a static market just by entering the position right before 11pm (or whenever it is) and exiting right after?

For example if you were long cable on capital spreads you would get about £2.50 per pound stake... unfortunately the spread is 3 points which would prevent making anything from this. But if the spread were 1 point you could make a £150 bet and receive £225 with pretty limited risk (if it wasn't moving).
 
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