Anchorage Warns Bitcoin Yield Trade Could Cap Gains If BTC Rips Higher
Anchorage Digital says Bitcoin covered-call strategies can create synthetic yield, but only with strict regime management. Its study used 37,000+ hourly backtests on Deribit data and found BTC options markets have grown large enough to matter institutionally, with open interest and IBIT options expanding rapidly. The appeal is BTC’s high upside volatility risk premium, which is much larger than for SPY or QQQ. A simple 20-delta, 30-day covered-call overlay worked well in the most recent year: it produced 5.5% yield while BTC spot fell 19.4%, reducing volatility and drawdown. But over the full October 2021 to April 2026 period, the same unfiltered strategy lost money because Bitcoin’s violent bull runs repeatedly capped gains. Results improved sharply when calls were sold only in weaker trend regimes and when implied volatility was elevated. Anchorage says the most effective zone is roughly 10- to 25-delta calls with expiries of at least 21 days. Bottom line: covered calls on BTC can work, but they are highly path-dependent and require active management.
