ETF/ETN arb

Quote from FroggerMan:

While I do question whether that is true, here is the info you need:

http://www.ipathetn.com/us/product/vxx/

Intraday Indicative Value Ticker VXX.IV

Knock yourself out...
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thx - i didnt realize they posted an intraday NAV calc.. i had mine calced on my own lol.

anyway, i'm still looking for references on the actual act of etf/etn arb strategies, not different etfs to look at. does anyone have any to reccomend?
 
I would use the one you are calculating on your own because that only updates on a set time interval. I don't remember the exact number but it might be as much long as 3 seconds. Just use this calculation to make sure your own is correct as they re-balance it every day.
 
Quote from FroggerMan:

I would use the one you are calculating on your own because that only updates on a set time interval. I don't remember the exact number but it might be as much long as 3 seconds. Just use this calculation to make sure your own is correct as they re-balance it every day.
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yeah - i'm aware of how the index it tracks works, i just hadn't heard of that iv ticker. either way, what i've put together for vxx doesn't show much of a significant deviation from intra-day NAV (atleast nothing large enough to exploit easily) but the sheet i built is only for real time, so i don't have a historical time series of the etf vs underlying values to look at how wide the deviations could get etc.
 
Quote from Jgills:

yeah - i'm aware of how the index it tracks works, i just hadn't heard of that iv ticker. either way, what i've put together for vxx doesn't show much of a significant deviation from intra-day NAV (atleast nothing large enough to exploit easily) but the sheet i built is only for real time, so i don't have a historical time series of the etf vs underlying values to look at how wide the deviations could get etc.
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Are you looking at the last trade or the live bid/ask?
 
Quote from ogarbitrage:

Are you looking at the last trade or the live bid/ask?
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i'm pulling both, but for the calc of the deviation i'm using the mid. for calcing the actual executable levels (if i was to try and arb vs futures) i'm using the corresponding bid/ask.

now that you say it though i should probably always be looking at bid and ask and looking at the deviation both ways.

is this something you're trading in?
 
Quote from Jgills:
now that you say it though i should probably always be looking at bid and ask and looking at the deviation both ways.
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Always look at the live bid/ask on these. Last trade or mids will give you nothing but phantoms and days of time wasted.
 
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