Great question. The bid-ask spreads of the ETF itself already take into account the bid-ask spreads of the underlying securities, since there exists an arbitrag

Great question. The bid-ask spreads of the ETF itself already take into account the bid-ask spreads of the underlying securities, since there exists an arbitrage opportunity via the ETF redemption mechanism. I found this PDF from State Street quite informative on the topic. We are working on our own data here as well and aim to share that down the line. https://www.ssga.com/library-content/pdfs/etf/au/spdr-au-etf-liquidity-master-the-mechanics-of-etf-trading.pdf https://www.ssga.com/library-content/pdfs/etf/au/spdr-au-etf...