We consider this LRT’s historical tracking error to be risky. Even when accounting for ETH’s volatility over the last 90 days, the market price has consistently been +/- 1% the underlying NAV. Ideally, we’d like to see market price consistently remain within 1% of NAV over a longer period of time.

Using the slippage curve below and this LRT’s average daily volume, we consider the liquidity depth to be healthy. A trade matching ADV after liquidity has been depleted by 50% still has price impact below 5%. We estimate price impact by multiplying slippage by 2.5 and reduce by a factor of 6 if withdrawals are enabled.

We consider the current whale concentration for this LRT to be moderate. The largest whale holds less than 5% of the LRT’s total supply, but the 3 largest whales hold more than 5% of the total supply. We increase the threshold by a factor of 6 if withdrawals are enabled.