ETF / Futures Arbitrage: The Russell 2000 Index (IWM and TF)

A primer on this type of trade can be found here.  

This is the spread built from 1 ICE-listed Russell 2000 E-Mini futures contract (TF) traded against the iShares Russell 2000 Index Fund ETF (IWM) at a fixed ratio.  The data was recorded July 26, 2011 and consists only of the open market hours (8:30am - 3:00pm CT).

The Spread.

Trading The Opportunity.

The IWM/TF spread is offered at 60 at 11:45:41.991 AM, meaning the synthetic structure built from the combination of IWM and TF can be "purchased" for $60 per spread.  This is, of course, subject to enough liquidity available in the IWM shares.  

At 11:46:07:755 AM, the spread is 110 bid, meaning the synthetic structure can be sold at a price of $110 per spread.

Low-latency traders that operate in this space are competing for these opportunities.