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Examining ETF Trading Strategies

One of the most frequent questions that I encounter in my discussions with clients is “How can I trade a large block in an ETF that has a small average daily volume?” This is going to be a high-touch order, and the ETF liquidity provider ecosystem is well adapted for facilitating this type of order flow. It’s not something that can be done electronically. The environment of market regulation and high-speed systematic trading makes it somewhat impractical to show large size on the screen and expect not to be gamed by other market participants. Therefore, on-screen liquidity of an ETF is not a good indication of ...

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