The so-called cross-currency arbitrage refers to arbitrage by using the futures price difference between two different but interrelated currencies, that is, buying (selling) futures contracts of one currency in a certain delivery month and selling (buying) futures contracts of another same delivery month and another related currency at the same time.

Cross-currency arbitrage must meet the following conditions:

First, there should be correlation and mutual substitution between the two currencies;

Second, the transaction is restricted by the same factor;

Third, futures contracts bought or sold should usually be in the same delivery month.