We find a cross-correlation signal with a S/N ratio of 6.4, revealing H₂O in HD 209458 b. We obtain a net blue-shift of the signal of –5.2 (-1.3,+2.6) km s⁻¹ which, 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 H2O individually from the three near infrared bands covered by CARMENES. We detect H₂O from its 0.96–1.06 μm band individually with a S/N of 5.8, and also find hints of a detection from the 1.06–1.26 μm band, with a low S/N of 2.8. No clear planetary signal is found, from the 1.26–1.62 μm band.
 Our significant H₂O signal at 0.96–1.06 μm in HD 209458 b represents the first detection of H₂O 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 μm bands. H₂O is detected from the 0.96–1.06 μm band in HD 209458b, but hardly in HD 189733b, 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 characterise the presence of aerosols in HD 209458 b and other planets.