Norbert’s Gambit can be used with any security that is listed in both US dollars and Canadian dollars. In practice, the securities most often used are the Horizon US Dollar ETF (DLR) or one of the bank stocks.
DLR is the safest choice
Some might argue that liquidity is marginally better on stocks like RBC (RY), and that you can exchange money more efficiently by using one of these rather than by using DLR.
However, there is one very big advantage to using DLR.
When conducting Norbert’s Gambit, you are likely to be have an outright long position in the chosen security for a few minutes. If you are using a bank stock like RBC, there is the potential for newsflow during this time. A typical example might be a major earnings announcement. You are also exposed to the movement of the USD/CAD rate during this time.
If you choose DLR, you are still exposed to the currency movements. But you are not exposed to any of the significant announcements or events that typically affect stocks prices.
DLR might be a very slightly more expensive way to conduct Norbert’s Gambit, but it is safer and avoids some of the potential problems that other stocks might create. Once you have used this technique a few times, you might want to look at using other stocks like RY.