Options arbitrage is a strategy that involves buying and selling options contracts to benefit from small price differences in the markets. When a trader finds a price difference between two markets, they can buy the option in the cheaper market and then sell it in the more expensive market to make a profit. For example, if one market is selling a call option for $2 and another market is selling the same type of call option for $3, the trader can buy the option for $2 and then sell it for $3 and make a $1 profit.