Anchorage Digital says that Bitcoin covered-call strategies can create synthetic yield for BTC holders, but only when managed with strict discipline. The firm’s new research warns that selling upside on Bitcoin can help cushion losses during weaker markets, but it sharply limits gains when BTC enters one of its intense bull-market phases. The analysis, written by Anchorage Digital Head of Research David Lawant, looks at systematic covered-call writing on Bitcoin using hourly simulations based on the Deribit implied-volatility surface. Anchorage says the study includes more than 37,000 individual backtests across every possible entry point in its dataset from October 2021 to April 2026, making it one of the most detailed attempts to identify where BTC options income works and where it fails.
Anchorage argues that Bitcoin options have moved from a niche derivatives segment to a market that institutions now take seriously. Notional BTC options open interest has grown roughly tenfold over the past five years, briefly rising above $100 billion at the end of 2025 before settling around $60 billion during the study. The paper notes that this level is higher than 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 market’s structure. Launched in late 2024, they have grown quickly enough to rival Deribit as a leading platform for BTC options open interest and trading activity. For Anchorage, this means the market institutions are now evaluating is deeper, more accessible, and significantly different from what existed 18 months earlier.
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. According to the paper, BTC’s upside volatility risk premium has averaged roughly two to three times that of the equity benchmarks, with the gap persisting for most of the post-2024 period. That premium is what makes it attractive.
Covered calls allow BTC holders to collect option income while keeping exposure to the underlying asset up to a set strike price. The trade-off is just as important: if Bitcoin rallies past the strike, upside participation is capped. Anchorage frames this as the central challenge of the strategy, not a minor detail.
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 nearly a third of the BTC drawdown. The blended portfolio’s annualized volatility also dropped from 40.6% to 35.0%, and the maximum drawdown improved from 49.7% to 44.5%.
But the full-cycle results were much less impressive. When the same unfiltered strategy was applied across the entire October 2021 to April 2026 period, it produced a negative yield of 0.5%, or minus 0.1% annualized. This 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 have sustained, autocorrelated rallies. During the late 2021 cycle peak, the 2023–2024 move from roughly $16,000 to over $70,000, and the 2025 bull market that briefly pushed BTC above $100,000, short calls were repeatedly overwhelmed as spot prices moved through strike levels. That’s why the paper argues that covered-call writing is an “active management strategy,” not a passive yield overlay.
The unfiltered version sold calls regardless of market conditions. The disciplined version waited for better opportunities. Anchorage tested a filter that required BTC’s trend not to be strongly bullish, based on a 10-day, 30-day, and 50-day moving-average stack, and required implied volatility to be above its 90-day rolling average. On exit, the model used a 75% take-profit target.A threshold, a delta-based stop-loss, and a two-day buffer before expiration help reduce gamma risk.
Related reading: Cathie Wood doubles down on her $1.25 million Bitcoin target.
The results changed significantly. With those simple filters for market conditions and implied volatility, the covered-call contribution rose to 23.7% over the full period, or 5.2% annualized. The blended portfolio’s Sharpe ratio improved from 0.20 to 0.30, but the strategy was only in the market 44% of the time.
Anchorage’s parameter work also narrows down the viable range. Deltas below 10 were consistent but too thin for many institutional mandates. Above 25-delta, directional exposure overwhelmed the strategy during Bitcoin bull markets. Seven-day and 14-day expiries were structurally disadvantaged because Bitcoin’s intraday volatility triggered stop-loss events before theta decay could do enough work.
The paper identifies the productive range as 10- to 25-delta calls with expiries of at least 21 days. The strongest evidence came from the rolling-window analysis. Over a one-year horizon, positive-yield rates across this range were roughly 55% to 85%, showing meaningful sensitivity to market conditions. Over a three-year horizon, eleven out of twelve setups 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’s that the strategy is highly dependent on the market path. In slow or falling markets, it can generate meaningful income. In strong upward trends, 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.
Frequently Asked Questions
Here is a list of FAQs about Anchorages warning regarding the Bitcoin yield trade covering beginner to advanced perspectives
BeginnerLevel Questions
1 What is the Bitcoin yield trade that Anchorage is talking about
Its a strategy where you lend out your Bitcoin through platforms like Anchorage to earn interest Think of it like a highyield savings account but for Bitcoin
2 How could earning yield on Bitcoin actually limit my gains
If Bitcoins price surges you might miss out on some of that upside When you lend out your BTC its often locked up or used in complex products You cant sell it instantly at the peak price so you might not capture the full profit from the surge
3 Is Anchorage saying I shouldnt lend out my Bitcoin
Not exactly Theyre warning that if youre fully committed to the yield trade you could miss a big price rally Its a tradeoff steady small returns now vs potential for a huge onetime gain later
4 Who is Anchorage Why should I care about their warning
Anchorage is a major regulated crypto bank They hold billions in digital assets for institutions When they warn about a market trend its based on deep data and client behavior so its worth paying attention to
5 Can I lose my Bitcoin by doing the yield trade
Yes there is risk If the platform you lend to gets hacked or goes bankrupt you could lose your Bitcoin The yield trade is not riskfree even if its offered by a big name
IntermediateLevel Questions
6 What exactly happens to my Bitcoin when I put it in the yield trade
Its typically lent out to institutions who use it for shortselling or arbitrage They pay you interest for borrowing your coins Anchorage acts as the middleman
7 Why would a Bitcoin price surge limit gains from the yield trade
Because the yield trade often involves basis trading Traders borrow Bitcoin to short it while going long on futures If the spot price surges faster than futures the trade becomes unprofitable Platforms then reduce yields or lock up your coins to unwind the trade preventing you from selling