ETF has a variety of trading methods, which can be purchased and redeemed in the primary market or traded in the secondary market, thus arbitrage between the primary and secondary markets can be carried out. Because you can apply for subscription and redemption when you are listed on the exchange, the transaction price in the secondary market will deviate from the subscription and redemption price in the primary market, and arbitrage may occur. Arbitrage needs to be carried out by transferring custody. If the unit net value of an ETF is 1 yuan and the transaction price of the exchange is 1.2 yuan, then investors can buy the fund through the bank, and then transfer the purchased fund to the exchange through the sub-custody, and sell it through the secondary market, so that the difference between the net value of the fund and the transaction price can be obtained; If the price of an LOF on the exchange is 1 yuan, and the unit net value is 1.2 yuan, investors can buy the fund on the exchange and redeem it at the bank through re-custody. For this arbitrage model, investors must open capital accounts in both the securities business department and the bank business department before trading.

Attention should be paid to the following issues: since it takes two trading days to transfer custody (such as transferring custody on Monday and operating on Wednesday), although the unit net value of LETF may not change much, the transaction price in its secondary market may change greatly. For investors, when the secondary market price is higher than the unit net value, it takes two days to arbitrage by bank subscription and exchange trading, while the LETF trading price of the exchange fluctuates greatly, and the spread may disappear completely within two days, and its arbitrage value will not exist. Therefore, the best arbitrage method is that when the net value of etf is higher than the secondary market price, investors buy ETF through the exchange and then redeem it in the bank.