Investment Stats Question- I need some serious brainpower?

If we assume the SP 500 Index have x volatility, conceivably the SP 100 should always have higher volatility, (I'm assuming the effect of the correlations and weights among the assets would be similar in both indexes, but I realize they are not the same)--- Shouldn't it be possible to create an arbitrage trading strategy where you could always sell the conceivably higher volatility index (SP 100) and use the proceeds to buy the lower volatility one (SP 500)? The indexes will perform nearly identical and in offsetting directions but couldn't a large enough position capture the inherent value of the difference in volatility--specifically in an index option with very little risk? Please punch holes in my thinking (Preferably a Finance or Stats Phd). This one is not for the meek.

I stated the indexes will move in similar but offsetting directions-- I meant the returns of each position since we're selling one side and buying the other.

btw, how old are you? just curious, but anyway

are you talking about funds or stocks? It really wont matter what funds u buy in teh "100" or th 500, but stocks will. If you buy 100, and you sell and use the profit to buy from the 500, you will still end up selling the 500 for a smaller return. You might as well buy from the 100 and sell on the 100, with much higher risk of course.

and besides, Ma's for the 100 are clearly more volatile than the 500, but lead to higher returns in the short run. Just have a good look when 2 Ma's meet or intersect, ssay for 50 days and 100, for an overalll review, or go 1 hour and 3 hour if you plan to intraday trade. Whe they intersect at the right time, you wil know when the price("value") wil go down and is a good entry point

There are and been in the past a lot of very smart people in the world. As old as these indexes are, it's likely someone would have already created such an investing strategy if it was doable.