The fair value of SVXY at 4:15 using the usual formulas was around $4, but it was trading around $70 at that time. However a lot of that price movement was due

The fair value of SVXY at 4:15 using the usual formulas was around $4, but it was trading around $70 at that time. However a lot of that price movement was due to essentially flash-crash type movement in the last minute of trading in the VIX futures. This introduced two problems for potential arbitrageurs. For XIV, the problem was that it was possible that CFE would bust trades at the extreme price levels, leading to a revised closing price and corresponding payout on the ETN. For SVXY, the problem was that it was possible that the extreme conditions had caused the fund managers to deviate from their target position, and thus hadn't actually lost as much money as they were supposed to based on their stated objectives. CFE never busted trades, but SVXY did end up deviating significantly from their target position, in the form of not taking off as much risk as they should have at 4:15. They ended up working the remaining order slowly through the overnight session and the following morning until about 10 am the next day. They got better prices on the make up hedge than the 4:15 price, which is why it opened the next day around $11 (which was a fair price) instead of $4. They made an extra $7/share by deviating from their objective. It could easily have been much bigger, and speculation about how much they hedged and at what prices is, in my opinion, why the price movement wasn't immediate.