Anchorage Study: Bitcoin Covered Calls Boost Yield but Cap Bull-Market Gains
Anchorage Digital published research analyzing 37,000 backtests of Bitcoin covered-call strategies, finding they generate consistent synthetic yield but cap upside during strong bull markets. The study examines the trade-off between cushioning drawdowns and limiting gains across five years of historical data.
Key Takeaways
- 1## Covered Calls: Yield vs.
- 2Upside Anchorage Digital's research, conducted by Head of Research David Lawant, simulates systematic covered-call writing on Bitcoin using hourly data and the Deribit implied-volatility surface from October 2021 through April 2026.
- 3The firm ran more than 37,000 individual backtests across all possible entry points to model where the strategy succeeds and where it falters.
- 4The core finding is straightforward: selling call options on Bitcoin holdings generates yield in sideways or declining markets but caps capital appreciation when Bitcoin enters a sustained rally.
- 5Anchorage emphasizes that success depends on disciplined execution—managing when to sell calls, at what strike levels, and across which time horizons.
Covered Calls: Yield vs. Upside
Anchorage Digital's research, conducted by Head of Research David Lawant, simulates systematic covered-call writing on Bitcoin using hourly data and the Deribit implied-volatility surface from October 2021 through April 2026. The firm ran more than 37,000 individual backtests across all possible entry points to model where the strategy succeeds and where it falters.
The core finding is straightforward: selling call options on Bitcoin holdings generates yield in sideways or declining markets but caps capital appreciation when Bitcoin enters a sustained rally. Anchorage emphasizes that success depends on disciplined execution—managing when to sell calls, at what strike levels, and across which time horizons.
Market Structure Changes
Anchorage notes that Bitcoin options have grown from a niche derivatives segment into an institutionally scaled market. Notional open interest in BTC options has risen roughly tenfold over the past five years, reaching above $100 billion at the end of 2025 before settling around $60 billion at the time of the study—surpassing the entire BTC futures market's open interest.
The introduction of IBIT options in late 2024 has accelerated this shift. The spot Bitcoin ETF options have grown quickly enough to rival Deribit as a leading venue for BTC options trading and open interest, widening the institutional toolkit for yield strategies.
Strategic Implications
The research underscores a fundamental trade-off in yield-generating derivatives strategies: consistent income generation often comes at the cost of capped upside. For institutions and sophisticated investors holding Bitcoin, covered calls remain viable for generating alpha in flat or bear markets, but require clarity on acceptable opportunity cost in bull scenarios.
Why It Matters
For Traders
Covered-call sellers should expect capped gains during rapid BTC rallies; entry timing and strike selection are critical to managing the cost of yield generation.
For Investors
Bitcoin options market maturation signals growing institutional adoption of derivatives for yield strategies, but confirms the inherent trade-off between steady income and bull-market participation.
For Builders
Options market depth and IBIT competition with Deribit are reshaping infrastructure; protocols and services targeting yield generation should account for changing implied-vol dynamics and execution venues.
