NO.PZ2021101401000023
问题如下：
Rutledge notes that one holding, ETF 1, is trading at a premium to its intraday NAV. He reviews the ETF’s pricing and notes that the premium to the intraday NAV is greater than the expected arbitrage costs.
Given the current pricing of ETF 1, the most likely transaction to occur is that:
选项：
A.new ETF shares will be created by the APs.
redemption baskets will be received by APs from the ETF sponsor.
retail investors will exchange baskets of securities that the ETF tracks for creation units.
解释：
A is correct.
When the share price of an ETF is trading at a premium to its intraday NAV and arbitrage costs are minimal, APs will step in and take advantage of the arbitrage. Specifically, APs will buy the basket of securities that the ETF tracks (the creation basket) and exchange it with the ETF sponsor for new ETF shares (a creation unit). These new ETF shares received by APs can then be sold on the open market to realize arbitrage profits.
B is incorrect because in the case of an ETF trading at a premium to NAV, the APs will not receive redemption baskets of securities. Instead, the APs will deliver creation baskets to the ETF sponsor and receive new ETF shares.
C is incorrect because only APs can deliver creation baskets or receive redemption baskets from the ETF sponsors. Retail investors can buy and sell ETF shares on the open market.
ETF is trading at a premium to its intraday NAV
ETF share：二级市场相较一级市场溢价时，套利步骤应该如下：
1.AP在二级市场购买ETF tracks for creation units 对应的baskets of securities；
2.AP利用二级市场申购的baskets of securities到一级市场向ETF sponsor 交换，也即：create shares，然后到二级市场sell ETF shares赚取溢价：
其中步骤1：AP在二级市场先购买一级市场申购交换需要的baskets of securities，不是就相当于retail investors在二级市场把baskets of securities exchange给AP吗？为何C不对？
