Anchorage Digital says Bitcoin covered-call strategies can generate synthetic
yield for BTC holders, but only when managed with strict discipline. The
firm’s new research warns that selling upside on Bitcoin can cushion drawdowns
in weaker markets, yet cap gains sharply when BTC enters one of its violent
bull-market phases. The analysis, written by Anchorage Digital Head of
Research David Lawant, examines systematic covered-call writing on Bitcoin
using hourly simulations across the Deribit implied-volatility surface.
Anchorage said the study includes more than 37,000 individual backtests across
every possible entry point in its October 2021 to April 2026 dataset, making
it one of the more detailed attempts to define where BTC options income works
and where it breaks. Anchorage Puts Bitcoin Yield Strategy To The Test
Anchorage argues that Bitcoin options have moved from a niche derivatives
segment into an institutionally relevant market. Notional BTC options open
interest has grown roughly ten-fold over the past five years, briefly rising
above $100 billion at the end of 2025 before sitting around $60 billion in the
study. That level, the paper notes, is above the open interest of the entire
BTC futures market. Related Reading: Bitcoin’s Famous CME Gap Playbook May Be
Nearing Its End IBIT options have also changed the structure of the market.
Launched in late 2024, they have grown quickly enough to rival Deribit as a
leading venue for BTC options open interest and trading activity. For
Anchorage, that means the market institutions are evaluating today is deeper,
more accessible and materially different from the one that existed 18 months
earlier. The research centers on Bitcoin’s volatility risk premium. Anchorage
compares 25-delta call implied volatility with subsequent realized upside
volatility over the next 21 trading days for BTC, SPY and QQQ. BTC’s upside
volatility risk premium, according to the paper, has averaged roughly two to
three times what the equity benchmarks delivered, with the gap persisting for
most of the post-2024 period. That premium is the attraction. Covered calls
allow BTC holders to collect option income while keeping exposure to the
underlying asset up to a defined strike. The cost is just as important: if
Bitcoin rallies through the strike, upside participation is capped. Anchorage
frames this as the central tension in the strategy, not a footnote. A simple
20-delta, 30-day covered-call strategy performed well in the most recent
12-month window tested. From April 30, 2025 to April 30, 2026, it generated a
net yield of 5.5% on the underlying BTC position while spot BTC fell 19.4%. In
Anchorage’s simulation, the overlay offset almost a third of the BTC drawdown.
The blended portfolio’s annualized volatility also fell from 40.6% to 35.0%,
while maximum drawdown improved from 49.7% to 44.5%. But the full-cycle
results were much less flattering. When the same unfiltered strategy was
extended across the entire October 2021 to April 2026 period, it produced a
negative yield of 0.5%, or minus 0.1% annualized. That happened despite a
favorable win/loss ratio of 4.38 to 1, with 57 winning trades against 13
losing ones. Anchorage describes the problem as “picking up pennies in front
of a steamroller.” The steamroller is Bitcoin’s tendency to stage sustained,
autocorrelated rallies. During the late 2021 cycle peak, the 2023–2024 move
from roughly $16,000 to more than $70,000, and the 2025 bull market that
briefly pushed BTC above $100,000, short calls were repeatedly overrun as spot
moved through strike prices. That is why the paper argues covered-call writing
is an “active management strategy,” not a passive yield overlay. The
unfiltered version sold calls regardless of regime. The disciplined version
waited for better conditions. Anchorage tested a filter requiring BTC’s trend
not to be strongly bullish, based on a 10-day, 30-day and 50-day moving-
average stack, and requiring implied volatility to sit above its 90-day
rolling average. On exit, the model used a 75% take-profit threshold, a delta
stop-loss and a two-day buffer before expiry to reduce gamma risk. Related
Reading: Cathie Wood Doubles Down On $1.25 Million Bitcoin Target The results
changed materially. With those simple regime and implied-volatility filters,
the covered-call contribution rose to 23.7% over the full period, or 5.2%
annualized. The blended portfolio Sharpe improved from 0.20 to 0.30, but the
strategy was in the market only 44% of the time. Anchorage’s parameter work
also narrows the viable range. Deltas below 10 were consistent but too thin
for many institutional mandates. Above 25-delta, directional exposure
overwhelmed the strategy during BTC bull markets. Seven-day and 14-day
expiries were structurally disadvantaged because BTC’s intraday volatility
created stop-loss events before theta decay could do enough work. The paper
identifies the productive corridor as 10- to 25-delta calls with expiries of
at least 21 days. The strongest evidence came from the rolling-window
analysis. At the one-year horizon, positive-yield rates across the productive
corridor ranged from roughly 55% to 85%, showing meaningful regime
sensitivity. At the three-year horizon, eleven of twelve configurations
produced positive yield in at least 91% of rolling windows, with five reaching
100%. Median annualized yields clustered between 4% and 6%. For BTC investors,
the takeaway is not that covered calls are broken. It is that the strategy is
highly path-dependent. In slow or falling markets, it can generate meaningful
income. In powerful upside regimes, the same trade can leave holders watching
Bitcoin rally while their upside has already been sold. At press time, BTC
traded at $73,113. Featured image created with DALL.E, chart from
TradingView.com

Anchorage Warns Bitcoin Yield Trade Could Cap Gains If BTC Rips Higher

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