ETF Securities (ETFS) offers a multitude of dual-listed commodity, currency, and index ETFs. This is a brief study of three of those securities designed to track the DJ-UBS Coffee Sub-Index. ETFS offers a German-listed, Euro-denominated security under the ticker OD7B; an LSE-listed, US dollar-denominated security under the ticker COFF; and a French-listed, Euro-denominated security under the ticker COFFP. The cash EUR/USD was used for price discovery and all prices were recorded 5 July 2012. All times are CST.
The spread between the currency-adjusted OD7B shares versus the COFF shares:
The spread between the currency-adjusted COFFP shares versus the COFF shares:
Note the frequent liquidity-shocks absorbed by each spread uniquely.
