Correct me if I am wrong, but isn't there a pure arbitrage opportunity whenever the QQQQ is trading at a premium or discount to its NAV. People can always create or redeem QQQQ shares at its NAV, and pocket the premium/discount. On July 8 and 11, the premium at closing were .73 and .35 per share respectively. What I don't understand is that if people can arbitrage whenever there a premium/discount, how come the premiums had gotten so high? I expect much competition to exist in these circumstances to drive any premium/discount down/up to its NAV level immediately. The fact that premiums were allowed to go up so high on July 8 and 11 suggest that not too many people are arbitraging the QQQQ. I don't understand why many people would forego such opportunities. Or is there something I don't understand? *Note: Ignore transaction cost because it's neglible to the big guys!