Volume counts the shares that changed hands. It shows how many others traded, not how cheaply you can.
An ETF is not a stock. Its shares can be created and redeemed.
When buyers want more shares than are on offer, an authorized participant (AP) can create new ones. It delivers the holdings, or cash, to the fund and receives shares.
When sellers outnumber buyers, an AP can redeem shares for the holdings.
Capacity
So the real limit is how much of the holdings could trade in a day. ETFIQ calls this capacity.
It comes from each holding’s own trading volume, over the holdings that make up 95% of the fund’s weight. The holding that can absorb least sets it.
What to read instead
Three figures on each fund’s trading page.
The spread, which is what you pay.
Capacity, which is what APs can absorb.
Active APs, from the fund’s Form N-CEN filing. A fund with one active AP depends on that firm.
What low volume does cost
Patience. A market order in a quiet fund pays the ask, or takes the bid, at once.
The fair limit is midpoint + X¢ to buy, midpoint − X¢ to sell.
X is half the fund’s typical spread in cents, rounded up, and never less than 1¢.
The limit orders guide covers the rule.