I was wondering how exactly ETF's are priced on a minute-by-minute basis... Here is an example. Suppose there is a fictional ETF that consists of all Auto Manufacturing Stocks, with 30% of the ETF being Toyota. And suppose this ETF is traded on the Amex, and that the total float of the ETF is an insignificant fraction of the total Auto Manufacturing stock float, like 0.01%. Now let's say that at noon, someone makes a very large buy of Toyota, causing the stock to go up 5% with a big spike. In theory, this means that the ETF should be valued at 1.5% more due to the Toyota spike. But, let's say that also at noon, someone makes a relatively large sale of the ETF, which requires all the existing buy limit orders within a few ticks of the price. But, remember that the total float of the ETF is only a tiny fraction of the Auto Manufacturing stocks, so the Toyota buy is a much bigger transaction than the ETF sell. SO, at 12:01, has the market maker for the ETF raised the price by 1.5% due to the big Toyota spike, or has he lowered the price due to the large sale of the actual ETF shares ?