Let me summarize:
"The problem with COIN is that the trust has been concocted in a fashion that gives the Winklevii an exclusive line into a potentially huge arbitrage opportunity. First of all, the underlying price will be determined by the Winkdex. It isn’t exactly difficult to figure out who would be able to manipulate the prices using this index and my guess is that the SEC will look hard into the possibility of a conflict of interest here." - Bitcoin Babble
Arbitrage is simply a mechanism where you buy from one source and sell to another at the same time. So if gold is worth two dollars less on one market than on the other, you could, in theory, make a profit of $2 per ounce just for buying from one source and selling to the other source. There is nothing wrong with this if it is done ethically.
This is a mechanism that helps to keep prices consistent across different markets. The problem we have in this case is that the Winklevii have a hand in the mechanism that controls the price of their ETF, the Winkdex. If they have the power to sell their bitcoins AND move the price of their coins at will, then you have a major conflict of interest. This is nothing bad for bitcoin aside from a few headlines about a scam, if it does actually come to pass.
It would be amazing if the Winklevoss ETF was based on a price metric that was a completely independent from the twins. One can dream...