JPMorgan: 75% of global arbitrage trades have been closed, G-10 arbitrage trading days are numbered

On August 8th, JPMorgan Chase stated that three-quarters of global arbitrage trades have been closed out, and the recent downturn has wiped out this year's gains. Quantitative strategists Antonin Delair, Meera Chandan and Kunj Padh said in a letter to clients that the returns on G-10, emerging markets and global arbitrage trading baskets tracked by the bank have fallen about 10% since May. The downturn has erased returns from the beginning of this year and significantly reduced accumulated profits since the end of 2022. The team wrote that spot transactions in global arbitrage trading baskets indicate that 75% of arbitrage trades have been closed out. They reiterated there is not much time left for G-10 arbitrage trades. These strategists suggest that chances for a rebound in August may be slim as central banks' schedules are relatively light during this period and volatility has begun to cool down.