Since the transactions occur at the same time, there is no holding period, hence this cannot be Long term capital gain (holding period is more than 1 year). Arbitrage profit could be taxed as ordinary income or short term capital gain. There is no clear rules regarding taxation on that income, however it must be reported. You can chose whether to report it as business income, or ordinary income. If you report it as business income, you will have to pay SE taxes, but you can offset part of that income with your expenses.
TurboTax self-employment is the best choice for that situation.
