Anchorage Digital says there’s a way for Bitcoin holders to earn “synthetic yield” from their BTC — but only if covered-call programs are run with strict discipline. In new, deep-dive research, the firm’s Head of Research David Lawant shows that selling upside can meaningfully cushion losses in weak markets, yet it can also sharply cap gains when Bitcoin enters one of its big bull runs.
Study scope and market context
- Anchorage ran more than 37,000 individual backtests using hourly simulations across the Deribit implied-volatility surface, covering every possible entry point from October 2021 through April 2026 — one of the most granular empirical looks at BTC options income to date.
- The Bitcoin options market has matured into an institutional marketplace. Notional BTC options open interest jumped roughly tenfold over five years, briefly topping $100 billion at the end of 2025 and sitting around $60 billion for the period Anchorage analyzed — a level that exceeds the open interest in the BTC futures market.
- New venues (notably IBIT, launched in late 2024) have altered liquidity and venue concentration, meaning the options market institutions are trading today is bigger and materially different than it was 18 months ago.
Why covered calls can work — and when they don’t
- Anchorage focuses on Bitcoin’s volatility risk premium. Comparing 25-delta call implied volatility to realized upside volatility over the next 21 trading days for BTC, SPY and QQQ, the paper finds BTC’s upside volatility risk premium has averaged roughly two to three times that of the equity benchmarks through much of the post-2024 period. That premium is what sellers harvest as income.
- Covered calls let BTC holders collect option premium while keeping exposure to spot up to the strike price. The tradeoff: if BTC rallies through the strike, upside is capped — and repeated, autocorrelated rallies are the primary danger.
Performance highlights
- In a recent 12‑month window (April 30, 2025–April 30, 2026), a simple 20‑delta, 30‑day covered-call overlay produced a net yield of 5.5% on the underlying BTC while spot BTC fell 19.4%. The overlay offset nearly a third of the drawdown. Blended portfolio volatility fell (annualized) from 40.6% to 35.0% and maximum drawdown improved from 49.7% to 44.5%.
- Yet over the full October 2021–April 2026 period, the same unfiltered strategy produced a negative total yield of 0.5% (about −0.1% annualized) despite a favorable win/loss count (57 winning trades vs. 13 losing trades, win/loss ratio 4.38:1). Anchorage characterizes this as “picking up pennies in front of a steamroller” — short calls repeatedly overrun during extended BTC rallies (late 2021, the 2023–2024 run, and the 2025 bull market that briefly pushed BTC above $100k).
Active management matters
- Anchorage’s central conclusion: covered-call writing is an active management strategy, not a passive yield overlay. The unfiltered approach sold calls continuously and was repeatedly crushed during bull runs. Adding simple regime and volatility filters materially improved outcomes.
- The disciplined model required:
- BTC’s trend not to be strongly bullish, determined by a 10‑day / 30‑day / 50‑day moving‑average stack
- Implied volatility above its 90‑day rolling average
- Exit rules: 75% take‑profit, a delta stop‑loss, and a two‑day buffer before expiry to limit gamma risk
Filtered results and parameter guidance
- With these filters, covered-call contribution over the full period rose to 23.7% total (5.2% annualized). The blended portfolio Sharpe ratio improved from 0.20 to 0.30 — but the strategy was active only 44% of the time.
- Anchorage narrows the practical parameter window:
- Productive delta corridor: roughly 10–25 delta (below 10 delta is too thin for many institutions; above 25 delta gives too much directional exposure in rallies)
- Expiry: at least 21 days (7–14 day expiries were structurally disadvantaged due to intraday BTC volatility triggering stop losses before theta could work)
- Rolling-window analysis: at a one-year horizon, positive-yield rates across the 10–25 delta, ≥21‑day corridor ranged ~55%–85% (showing regime sensitivity). At a three-year horizon, 11 of 12 configurations produced positive yield in ≥91% of rolling windows, with five configurations hitting 100%. Median annualized yields clustered between about 4% and 6%.
Bottom line
Covered calls can be a reliable source of “synthetic yield” for BTC holders in sideways or down markets, but they are path-dependent and risky to run passively. In powerful upside regimes, the same strategy can leave holders watching rallies they no longer fully participate in. Anchorage’s research argues the difference between success and failure is active regime-based rules, careful parameter selection (10–25 delta, ≥21 days), and disciplined exits.
At press time BTC traded at $73,113.
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