You will get the most benefit from Norbert’s Gambit when the bid/ask spreads on DLR and DLR.U are at their tightest.
For example, if liquidity is poor then you might see DLR quoted at 9.96 / 9.98. The bid-ask spread of 0.02 might seem very small, but that’s actually a 0.2% difference. If you trade at the bid or ask, that means you will be losing approximately 0.1% (plus commission) on this side of the trade.
If you choose a time of day with better liquidity, you might see DLR quoted at 9.97 / 9.98. In this case, you will be losing approximately 0.05% (plus commission) on this side of the trade. A much better result.
So, what are the best times of day for good liquidity and a tight bid-offer spread?
Avoid early mornings or late afternoons
Make sure you wait until the exchange is fully open before you do your trades. The TSX opens at 9:30am and closes at 4:00pm, Eastern time. Make sure that you avoid the first and last half hours of the day. To be safe, place your trades between 10:00am and 3:30pm, and always use a limit order.
Look out for public holidays
On stock market holidays you won’t be able to trade DLR or DLR.U on the TSX. There is a useful list of stock market holidays here: http://www.tmxmoney.com/en/investor_tools/market_hours.html
Also be aware of US stock market holidays. If the US markets are closed but Canada’s are open, you may see worse liquidity in any stocks or ETFs quoted on the Canadian exchanges. US Thanksgiving is one example of a day where Canadian liquidity is likely to be poor, and Norbert’s Gambit may not be as helpful.