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Crypto ETPs: An Examination of Liquidity and NAV Premium, Accessible Data
Figure 1. ETPs & ETFs Secondary Market Liquidity
In this figure we plot a selection of ETPs and ETFs according to their market capitalization (as of December 2024: x-axis), and 2024 average bid/asked spread (y-axis). We show the largest spot-crypto ETPs that reference BTC and ETH in red bubbles, ETFs that reference equities in grey bubbles, bond ETFs in green, and commodities referencing ETPs in blue. We label each ETP and ETF with its respective ticker symbol. The general downward-sloping pattern of the overall scatter plot reflects the fact that the largest ETPs and ETFs tend to be the most liquid. The spot crypto ETPs are comparable with several commodity ETFs such as SLV (referencing Silver futures) and bond ETFs such as HYG and JNK (referencing corporate bonds), while equity referencing ETFs are larger are more liquid.
Note: Crypto ETPs include: FBTC, IBIT, GBTC, ETHE, ETH, ETHA; Commodity ETPs: USO, SLV, CPER, WEAT GLD; Equity ETFs: QQQ, SPY, VTI, IJR, IWM, and Bond ETFs: HYG, LQD, JNK, BND, and AGG.
Source: Bloomberg and CRSP.
Figure 2. ETPs & ETFs Discount/ Premium vs. NAV
In this figure we plot a selection of ETPs and ETFs according to the average liquidity of the underlying reference asset (x-axis), and the average tracking error (y-axis). The size of the respective bubble reflects the ETF or ETP market capitalization. As we show on the plot, the general upward sloping pattern indicates that ETF and ETPs with more liquid reference assets tend to have lower tracking error. However, the crypto ETPs appear to differ significantly from others. Despite having liquid underlying reference assets, spot crypto ETPs have relatively poor tracking error. This suggests that arbitrage is difficult between crypto markets (where the reference assets trade) and equities markets (where the ETPs trade).
Note: Crypto ETPs include: FBTC, IBIT, GBTC, ETHE, ETH, ETHA; Commodity ETPs: USO, SLV, CPER, WEAT GLD; Equity ETFs: QQQ, SPY, VTI, IJR, IWM, and Bond ETFs: HYG, LQD, JNK, BND, and AGG.
Source: Bloomberg and CRSP.