Virtual bidding is a financial instrument that bridges the day-ahead (DA) and real-time (RT) electricity market. With improved forecasting accuracy, virtual bidding shrinks the gap between the two markets and thus increases social welfare. In this process, arbitrage opportunities exist because participants may hold asymmetric information. In this work, we study the arbitrage behaviors in virtual bidding. Adopting a game theoretical framework, we illustrate how participants’ benefits vary when information asymmetry exists in the process. Moreover, we conduct extensive numerical studies to investigate how participants’ profits with extra information differentiate in various market situations. The numerical studies reveal that although privileged participants with more information than others can take advantage of the information asymmetry to gain profits, not all of them can benefit. In contrast, virtual bidders directly taking the publicly available information must bear a loss.