I see the potential problem but I think its merely theoretical. The reason ETF's have more liquidity is because smaller traders trade ETF's with more transactions. This is theoretically a problem because it means that the derivative will lead the underlying in terms of price. In practice based on everything I've read about this from small traders that tried to trade any of the panic situations was they all basically get locked out and the orders never posted. The consumer portals like Etrade and Ameritrade get too much traffic and cannot handle the trade volume so the interfaces go to shit and users cant trade or get good exchange data. At this point the small time investors get reamed. That should also cause the liquidity on the derivative to contract so the described problem may be strictly theoretical in nature. Have you guys tried to trade any of the -800 days? How did that work for you were you able to get any orders to fill?