Context :

Aims : We aim at detecting water vapor in the atmosphere of the hot Jupiter HD 209458 b and perform a multi-band study in the near infrared with CARMENES .

Methods : The water vapor absorption lines from the atmosphere of the planet are Doppler-shifted due to the large change in its radial velocity during transit .
This shift is of the order of tens of km s ^ { -1 } , whilst the Earth ’ s telluric and the stellar lines can be considered quasi-static .
We took advantage of this shift to remove the telluric and stellar lines using Sysrem , which performs a principal component analysis including proper error propagation .
The residual spectra contain the signal from thousands of planetary molecular lines well below the noise level .
We retrieve the information from those lines by cross-correlating the residual spectra with models of the atmospheric absorption of the planet .

Results : We find a cross-correlation signal with a signal-to-noise ratio ( S/N ) of 6.4 , revealing H _ { 2 } O in HD 209458 b .
We obtain a net blueshift of the signal of –5.2 ^ { +2.6 } _ { -1.3 } km s ^ { -1 } that , despite the large error bars , is a firm indication of day- to night-side winds at the terminator of this hot Jupiter .
Additionally , we performed a multi-band study for the detection of H _ { 2 } O individually from the three near infrared bands covered by CARMENES .
We detect H _ { 2 } O from its 0.96–1.06 \mu m band with a S/N of 5.8 , and also find hints of a detection from the 1.06–1.26 \mu m band , with a low S/N of 2.8 .
No clear planetary signal is found from the 1.26–1.62 \mu m band .

Conclusions : Our significant H _ { 2 } O signal at 0.96–1.06 \mu m in HD 209458 b represents the first detection of H _ { 2 } O from this band individually , the bluest one to date .
The unfavorable observational conditions might be the reason for the inconclusive detection from the stronger 1.15 and 1.4 \mu m bands .
H _ { 2 } O is detected from the 0.96–1.06 \mu m band in HD 209458 b , but hardly in HD 189733 b , which supports a stronger aerosol extinction in the latter , in line with previous studies .
Future data gathered at more stable conditions and with larger S/N at both optical and near-infrared wavelengths could help to characterize the presence of aerosols in HD 209458 b and other planets .