1. Arbitrage by using the difference between the net value of ETF funds and the secondary market price.
This is the most basic way of ETF arbitrage, and it is also the advantage of ETF funds. Because of arbitrage, its secondary market price will not deviate greatly from its net fund value. The specific arbitrage path is as follows: if the net value of ETF funds is lower than the secondary market price, investors can buy a basket of stocks (such as SSE 180 index stock portfolio), then buy ETF funds in the ETF primary market with a basket of stocks, and sell ETF funds in the secondary market at a higher market price, thus realizing arbitrage; On the other hand, if the net value of ETF funds is higher than the secondary market price, investors can operate in the opposite direction, that is, buy ETF funds in the secondary market at a lower market price, and then redeem a basket of stock portfolios in the ETF primary market, while selling stock portfolios in the stock secondary market to achieve arbitrage. Of course, the above arbitrage is subject to the transaction cost of the secondary market and the subscription and redemption cost of ETF funds, and can only be operated when the arbitrage income is greater than the above cost.
Second, short the constituent stocks of ETF funds.
This arbitrage method makes use of the trading rules of ETF funds. ETF funds all invest in an index, such as SSE 180 index, SSE 50 index and SZSE 100 index. When the constituent stocks in the index are suspended, the stock is calculated at the price before the suspension when it is purchased or redeemed in the ETF primary market. The typical case of shorting ETF funds is Changjiang Power. When Changjiang Power suspended trading, the Shanghai Composite Index was around 4,000 points. After the suspension, the Shanghai Composite Index plunged to 1600. The general view of the organization is that Changjiang Power will make up for the decline after the resumption of trading. Therefore, the investors who hold Changjiang Power first buy other 179 constituent stocks to build the SSE 180 index, and then buy ETF funds in the primary market and sell ETFs in the secondary market, so as to achieve the purpose of selling Changjiang Power at the price before suspension. Although Changjiang Power did not fall but rose after the resumption of trading in 2009, investors who shorted Changjiang Power still suffered losses. However, this arbitrage method is still very practical.
Third, become a constituent stock of ETF funds.
Similarly, this arbitrage method also uses the trading rules of ETF funds. The typical cases of long ETF funds are the recent deep development and the "deep love" of China Ping An. When China Ping An announced the acquisition of SDB shares, both shares were suspended. It is widely expected that both stocks will rise sharply after the opening. Therefore, investors can buy ETF funds in the secondary market (the index invested by the fund should include China Ping An and Shenzhen Development Stock). For example, buy SSE 50 index ETF (including Ping An in China) and SZSE 100 index ETF (including SDB), redeem ETF funds in the primary market, obtain SSE 50 index stock portfolio or SZSE 100 index stock portfolio, immediately sell other stocks in the secondary market, only keep China Ping An or SDB stocks, and sell them at a higher price after resumption of trading, thus realizing arbitrage gains.
I hope my answer is helpful to you.