# ETF Arbitrage Strategy AI Agent Connect

> Identify and quantify arbitrage opportunities between ETF market prices and NAV.

## Overview
- **Category:** finance
- **Price:** Free
- **Endpoint:** https://edge.vinkius.com/vk_preview_zaJvsJE5jkYzqjERUselz0piqTYYJ6wDnUEwl5ZH/ai-agent-connect
- **Tags:** etf, arbitrage, nav, liquidity, quantitative

## Description

This MCP server provides deterministic tools to detect price discrepancies in Exchange Traded Funds. By analyzing the relationship between an ETF's market price and its Net Asset Value (NAV), users can identify valid arbitrage signals. The server includes `analyze_arbitrage_opportunities` to evaluate price series against liquidity constraints, `calculate_liquidity_status` to verify if an ETF or its underlying basket meets trading thresholds, and `estimate_convergence_time` to predict how long a premium or discount will persist based on market volatility.

## Tools

### analyze_arbitrage_opportunities
Evaluates a series of price/NAV data points to identify valid arbitrage signals

### calculate_liquidity_status
Determines if an ETF or its underlying basket meets the required liquidity thresholds

### estimate_convergence_time
Predicts the duration until the premium or discount returns to zero

## Prompt Examples

**Prompt:** 
```
Analyze these ETF data points for arbitrage: priceSeries [100.5, 100.2], navSeries [100.0, 100.0], basketValues [100.0, 100.0], transactionCosts 0.01, avgDailyVolume 15000000, isUnderlyingLiquid true
```

**Response:** 
```
The analysis shows a valid SELL ETF and BUY basket signal at the first bar with an expected profit of 0.49% after costs.
```

**Prompt:** 
```
Check if an ETF with an average daily volume of 5,000,000 and asset class 'large-cap' is liquid.
```

**Response:** 
```
The ETF is not liquid because the average daily volume is below the $10,000,000 threshold.
```

**Prompt:** 
```
Estimate how long a 0.6% premium will last with a market volatility of 0.02.
```

**Response:** 
```
The estimated convergence time is 4.5 hours with a high confidence score.
```

## Frequently Asked Questions

**How does the arbitrage signal validation work?**
A signal is valid only if the average daily volume exceeds $10,000,000, the underlying assets are liquid, and the absolute premium or discount is greater than twice the transaction costs.

**Can I use this to trade high-yield bond ETFs?**
The server automatically flags high-yield assets as illiquid via `calculate_liquidity_status`, which will prevent the generation of arbitrage signals for those instruments to avoid risk.

**What determines the expected profit?**
Expected profit is calculated by taking the premium or discount and subtracting transaction costs, tracking error, and creation/redemption fees.