I haven't looked at ETHE, but GBTC sells new shares to large investors at par with the BTC price. The newing issued shares have a lockup period that prevents the investor from selling them on the OTC market for a fixed amount of time.
When you purchase GBTC on the OTC market, you are not receiving new shares from Grayscale. You are receiving previously issued ones. So the price of GBTC is based on the security's supply/demand balance.
Once other firms create new BTC Trusts/funds, GBTC should trade closer to its NAV.