STW try and closely track the ASX 200 index. Therefore in theory one could be buying/selling STW and hedging with the SPI future whenever they get out of line.
However, there are a number of issues. Firstly, they don't get out of line very often for very long, as there are quite a number of firms market making it against the SPI futures. Basically they quote STW, and continue changing their quotes as the future moves. When there is a big move in the future, there are brief periods when they do get out of line, and if you were fast enough, you could buy the cheap one and sell the expensive one.
However, The biggest single factor is being able to make money by doing this is speed - most of these pure arb opportunities only exist for a few hundred micro-seconds so unless you are one of the fastest in the market, you'll miss the trade every-time. Firms spend a lot of time and money on software/hardware to be the fastest, so the average punter auto-trading via a broker doesn't stand a chance.
Secondly, the SPI futures are over the ASX 200 stocks which get re-weighted each day, where as the STW is re-weighted less often to reduce costs. As the weightings get out of sync, the futures hedge is not perfect. To hedge correctly, you need to be able to trade the futures and then get the hedge correct by buying/selling some of the underlying stocks. If you are not a market marker, shorting stocks is difficult/expensive and/or impossible in some cases, not to mention the fee's if you are a non-market maker.
