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ETF Realized Price

Average cost basis of ETF-held BTC

PropertyValue
CategoryETF Analytics
UnitUSD
Resolution1d
AssetsBTC
TierBasic
API EndpointGET /v1/etf/aggregate
Fieldetf_realized_price

Overview​

ETF Realized Price is the average price at which the Bitcoin currently held by all tracked ETFs and ETPs was acquired — the cost basis of the ETF cohort. It is the ETF counterpart of the on-chain Realized Price, which does the same for all coins on the blockchain.

The cost basis is tracked fund by fund with a weighted-average-cost method and then added up:

  • On the first day of a fund's history its holdings are valued at that day's BTC price.
  • When a fund's BTC holdings grow, the new coins are added at that day's BTC price.
  • When they shrink (redemptions, or sponsor fees paid in BTC), the fund's cost basis is reduced in proportion to the coins that left, so its average cost does not change.

The aggregate is the sum of the funds' cost bases divided by the total BTC they hold. Coins bought long ago keep their original cost: GBTC's holdings are costed from its trust years (since 2013), and every other fund from the start of its history.

Formula​

ETF Realized Pricet=∑fRCf,t∑fBf,t\text{ETF Realized Price}_{t} = \frac{\sum_{f} \text{RC}_{f,t}}{\sum_{f} B_{f,t}}

RCf,t={RCf,t−1+(Bf,t−Bf,t−1)×Ptif Bf,t>Bf,t−1RCf,t−1×Bf,tBf,t−1if Bf,t<Bf,t−1\text{RC}_{f,t} = \begin{cases} \text{RC}_{f,t-1} + (B_{f,t} - B_{f,t-1}) \times P_t & \text{if } B_{f,t} \gt B_{f,t-1} \\ \text{RC}_{f,t-1} \times \dfrac{B_{f,t}}{B_{f,t-1}} & \text{if } B_{f,t} \lt B_{f,t-1} \end{cases}

  • Bf,tB_{f,t} — BTC held by fund ff on day tt; PtP_t — the BTC price of day tt
  • RCf,t\text{RC}_{f,t} — the fund's realized cap (cost basis in USD); on the fund's first day RC=B×P\text{RC} = B \times P
  • Empty when the funds hold no BTC

Interpretation​

  • BTC price above the ETF Realized Price: ETF holders as a whole are in profit, which tends to reduce redemption pressure.
  • BTC price below the ETF Realized Price: ETF holders as a whole are at a loss; risk limits and loss aversion can increase redemptions.
  • Support and resistance: the cohort's cost basis often acts as a reference level — holders add near break-even and sell into recoveries towards it.
  • Rising realized price: new money is buying at prices above the current average cost.
  • Stable during outflows: redemptions leave the average cost unchanged; only the BTC bought at new prices moves it.

Use Cases​

  • Profitability analysis: compare with the BTC price to see whether the ETF cohort is in profit or loss.
  • Market structure: compare with the on-chain Realized Price to see whether ETF buyers paid more or less than the average on-chain holder.
  • Fund comparison: ETF Realized Price (Per Fund) shows the cost basis of each fund behind the aggregate.
  • Cycle timing: a recovery of the BTC price back above the ETF Realized Price marks the return of ETF holders to profit.

API Usage​

curl -H "Authorization: Bearer YOUR_API_KEY" \
  "https://api.blocklens.co/v1/etf/aggregate?start_date=2024-01-01&end_date=2024-12-31&limit=365"