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by jjmaxwell4 557 days ago
Great question. The bid-ask spreads of the ETF itself already take into account the bid-ask spreads of the underlying securities, since there exists an arbitrage opportunity via the ETF redemption mechanism.

I found this PDF from State Street quite informative on the topic. We are working on our own data here as well and aim to share that down the line.

https://www.ssga.com/library-content/pdfs/etf/au/spdr-au-etf...