Morrisons' group treasurer and head of tax is under investigation by the Financial Conduct Authority over allegations relating to the trading of shares in Ocado before a tie-up was announced between the companies.
Paul Coyle was arrested in December in Harrogate, North Yorkshire, and was taken in for questioning in connection with alleged insider dealing and market abuse.
The City regulator said at the time that it had searched a 49-year-old man's home in a dawn raid carried out with the North Yorkshire and West Yorkshire police forces.
It has emerged that the person arrested was Coyle and that the matter involved allegations relating to dealing in Ocado shares. Coyle has not been charged and the investigation continues. No one else is thought to be involved.
Ocado shares surged in May when the online food retailer announced an agreement with Morrisons to deliver goods ordered online by the supermarket's customers. Ocado made the first deliveries on 10 January under the deal, which has transformed investors' view of Ocado's prospects.
The FCA and its predecessor, the Financial Services Authority, have tried to clamp down on market abuse after the FSA was accused of taking a soft line on people profiting from insider knowledge.
Following adoption of the tougher approach, 23 people had been convicted of insider dealing by December in cases unrelated to trading in Ocado shares. The FCA is separately prosecuting seven people for market abuse, which is punishable by a fine or up to seven years in prison.
The investigation into Coyle comes at a difficult time for Morrisons. The group fared the worst out of Britain's big four supermarkets over Christmas, and issued a profit warning after like-for-like sales fell 5.6%. Morrisons blamed its lack of online service and relatively few convenience stores for the poor performance.
The FCA and Morrisons declined to comment.