http://etf.stock-encyclopedia.com/category/leveraged-etfs.html lots of these etfs are very inefficiently priced compared to their underlying - many of them barely do any volume. perfect opportunity for an ATS developer with good programing skills and lots of cash...if only i had a hedge fund..
Most, if not all, of those funds use derivatives as well. I highly doubt there are any major arb opportunities that aren't gone within seconds.
no way just look at SSO - ultralong S&P etf - can go for minutes without any trades being placed at all - only does about 240k shares a day. there are many others that are even worse.
Why would you post this without providing any evidence? Retail can't arb ETFs because the transaction costs are greater than the actual differential. The closest strategy is trading mispriced mutual funds, and that is barely (1%) profitable becuase of trading restrictions and redemption costs. The only arbitrage effect worthwhile to retail is trading S&P 500 addition/deletion announcements.
It's quite likely quotes aren't being hit because there is no arb opportunity. http://finance.yahoo.com/q/bc?s=SSO&t=6m&l=on&z=m&q=l&c=^SPX Note the lack of the 200% relationship
lol 2! You lot want to take a look at the arbs of Indian against Dubai traded futures contracts. Free money (lots) while it lasts.... C'mon dudes, I need your liquidity to trade against. Better than pickin pennies in front of a steamroller in ETF's
perhaps arb was a wrong choice of word - but SSO and many other etfs out there are clearly mispriced compared to the more active etfs (SPY, QQQQ, etc.), hence present tons of opportunity if you have the patience. do a comparison - spy, spx, and sso
No, that's precisely not the case. If they are priced correctly (which they usually are), there are no opportunities.
a question to anyone who arbs through a retail platform like IB. would you suggest getting a 3rd party data provider which provides faster / more accurate market changes? if so which one?