This paper confirms the pricing error between the price of short strangle type Exchange-Traded Notes (ETN) and their portfolio value in the financial market. Also, this research analyzed reasons for pricing errors and focused on the role of liquidity providers. As a result, this paper provides results as follows. First, the pricing error between ETNs’ price and their portfolio value exists in the financial market. The ETNs price is overvalued and statistically significant compared to portfolios value on whole data sets. However, undervalued cases are more than overvalued cases in the data set. Also, this paper considered the unit of price on 5 KRW in the ETNs market. As a result, overprice of absolute 5 KRW between ETNs price and portfolio value has 45% on total observation, and it is almost two per five trading days. Separately, the cases exceeding 5 KRW have more than opposite cases. Second, this paper divide samples into three groups. First is the whole data set, second, exceeding 5 KRW cases, third, less than -5 KRW cases, also exceeding 5 KRW or less than -5 KRW data set divided into three situations. First, trading days on occurred pricing error considering unit of price; second, trading days on kept pricing error; third, trading days on released the pricing error. Furthermore, this paper analyzed the reason for the pricing error. As a result, the pricing error is caused by the change of the underlying asset variable, but liquidity variables, primarily buying and selling liquidity, including liquidity providers, have no statistical significance. From this result, liquidity providers do not their role in the ETNs market when the pricing error occurs. Therefore, it needs to improve institutions to evaluate liquidity providers and give strict obligations to them