not sure I agree with your detective work. If the price of the ETF is too low... you can buy the ETF, take it to the ETF sponsor, they will convert it into the

not sure I agree with your detective work. If the price of the ETF is too low... you can buy the ETF, take it to the ETF sponsor, they will convert it into the underlying, you can then sell the underlying. Ability to short = ability to borrow. If you can borrow Bitcoins from someone, you can sell them, and then you're short. While there may not be an active lending market, in principle no reason it couldn't be done. A lot of times the ETF sponsor or a related entity will participate in arbitrage to keep prices in line... they might have ability to lend to each other. In fact, that may be an important way the Winklevii expect to make money. (in addition to the fact their Bitcoin hoard is more valuable if it's more liquid and more accepted by traditional investors) Now, if the underlying is illiquid and doesn't have good price discovery, the ETF will probably be in the same situation. In the example above, if you're not darn sure you can sell the underlying pretty quickly at a higher price than the ETF, you're not going to attempt the arb. So if the market is illiquid, the arbs don't step in until the spread is more egregious.