9,423% Arbitrage Gap on Chicago June 14 Temperature Contracts

A structural mismatch in settlement timing has opened highly profitable arbitrage channels between Polymarket and Kalshi weather contracts. The widest gap is on the Chicago June 14 maximum temperature market, boasting a theoretical net return of 9423.81% due to sub-cent pricing anomalies (0.1¢ on Polymarket vs 1.0¢ on Kalshi). Execution Notes: 1. Settlement Lag: Note the expiration dates. Polymarket contracts for June 14 settled or expired on the same day, while Kalshi's equivalent contracts do not officially close until June 21. This mismatch creates capital lockup risks that traders must size for. 2. Definition Risks: Ensure you are crossing matching stations. Polymarket typically settles via official NOAA/NWS daily summaries for specific airports (ORD for Chicago, DIA for Denver), while Kalshi might use differing hourly observation windows. Double-check the contract specs before committing size. 3. Liquidity: Polymarket volume on Chicago is solid at $82.3k, but Kalshi's book on the 71°-72° 'NO' side is thinner at $33.9k. Execute your Polymarket legs first to ensure you aren't left with an unhedged, illiquid leg on Kalshi.