Anchorage Digital has issued a detailed research report cautioning that Bitcoin covered-call strategies, while capable of generating synthetic yield for BTC holders, require strict active management to avoid limiting upside during strong bull markets.

The report, authored by Anchorage Head of Research David Lawant, analyzes systematic covered-call writing on Bitcoin using hourly simulations across the Deribit implied-volatility surface. It includes more than 37,000 individual backtests spanning October 2021 to April 2026, making it one of the more thorough attempts to define where BTC options income works and where it breaks down.

Bitcoin Options Market Grows

Anchorage argues that Bitcoin options have evolved from a niche segment into an institutionally relevant market. Notional BTC options open interest has increased roughly ten-fold over the past five years, briefly exceeding $100 billion at the end of 2025 before settling around $60 billion during the study period. That level surpasses the open interest of the entire BTC futures market.

IBIT options, launched in late 2024, have grown quickly enough to rival Deribit as a leading venue for BTC options trading. Anchorage notes that this makes the market more deep and accessible than it was 18 months earlier.

The Volatility Premium

The research focuses 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 has averaged roughly two to three times that of equity benchmarks, with the gap persisting for most of the post-2024 period.

Covered calls let BTC holders collect option income while maintaining exposure to the underlying asset up to a defined strike. If Bitcoin rallies through that strike, however, upside participation is capped. Anchorage frames this as the central tension in the strategy.

Testing Results Show Mixed Outcomes

A simple 20-delta, 30-day covered-call strategy performed well in a recent 12-month window from April 2025 to April 2026. It generated a net yield of 5.5% on the underlying BTC position while spot BTC fell 19.4%. The overlay offset nearly a third of the drawdown, and the blended portfolio’s annualized volatility dropped from 40.6% to 35.0%.

But the results looked much worse over the entire period from October 2021 to April 2026. The same unfiltered strategy produced a negative yield of 0.5%, or minus 0.1% annualized, despite a favorable win/loss ratio of 4.38 to 1. Anchorage describes this as “picking up pennies in front of a steamroller” – the steamroller being Bitcoin’s tendency for sustained, autocorrelated rallies.

Active Management Improves Results

Anchorage argues that covered-call writing is an active management strategy, not a passive yield overlay. The unfiltered version sold calls regardless of market conditions. A disciplined version that waited for better conditions performed much better.

The firm tested a filter requiring BTC’s trend not to be strongly bullish (based on moving averages) and implied volatility to sit above its 90-day rolling average. With these simple filters, the covered-call contribution rose to 23.7% over the full period, or 5.2% annualized. The strategy was in the market only 44% of the time.

Anchorage also narrowed the viable range. Deltas below 10 were consistent but too thin for many institutional mandates. Above 25-delta, directional exposure overwhelmed the strategy during bull markets. Seven-day and 14-day expiries were structurally disadvantaged because intraday volatility caused stop-loss events before theta decay could work. The productive corridor is identified as 10- to 25-delta calls with expiries of at least 21 days.

The rolling-window analysis showed that at the one-year horizon, positive-yield rates across this corridor ranged from roughly 55% to 85%. 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 Bitcoin 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.