It was commodities dual listed in different currencies. We've seen some very high FX vols and some very low commodity vols recently.QuoteOriginally posted by: prodiptaghave a feeling you are talking about FX here. I vaguely remember I was curious about this too a long while back ... and what dawned on me is this -> suppsed A = eur/usd, b = gbp/usd, so a/b is eur/gbp, so max(a-b,0) depends on eur/usd vol, gbp/usd vol and their correlations, and max(a/b - k,0) depends on eur/gbp vol. Now my maths is rusty, so I can't prove it, but I don't see why eur/gbp vol would be specified completely by eur/usd vol, gbp/usd vol and there correlation, and if it is not, then I don't think there is any arbitrage. open to be enlightened!!