In the latest chapter of the United States Natural Gas ETF ( UNG) saga, the fund has begun to trade at a noticeable premium to its actual value, forcing investors to "pay up" to get a hold of shares. UNG closed at a 2.56% premium to net asset value (NAV). This predictable move is a result of a regulatory hang-up in the fund's creation process that defines the very nature of ETFs. Unlike mutual funds or closed end funds, ETFs have a transparent portfolio. Each day, investors can find out exactly what is in the basket of stocks that make up each fund. Baskets generally include securities or futures and a cash amount. The price of an ETF should be close to its NAV, since it is possible to determine what the fund is worth while the contents of its basket are trading. In the normal course of events, several factors can cause an ETF to deviate from its NAV. That may occur if the contents of the ETF basket are not trading at the same time as the ETF -- eg., the fund contains Chinese equities that trade only on Chinese exchanges during Chinese exchange hours, not 9:30 a.m. ET to 4 p.m. ET-- or if some component of the basket is halted during normal trading. A fund with a low number of buyers and sellers, and consequently a low trading volume, can also deviate from NAV. In the case of UNG, however, the entire pricing mechanism has been thrown off by a halt in the creation process. When an ETF first appears on the market, an approved market maker will create units of the fund to sell to customers. As demand for the fund increases, market makers will create additional units to sell to investors.