Anchorage Digital is cautioning institutional clients that Bitcoin covered-call strategies, while popular as a yield play, can backfire badly when BTC rallies hard. A new study from the custodian, based on more than 37,000 backtests from October 2021 to April 2026, found that a plain-vanilla covered-call approach actually lost money over the full period — negative 0.5% — even as spot Bitcoin fell 19.4% in the most recent one-year stretch.
The numbers that matter
Over the year from April 2025 to April 2026, a simple 20-delta, 30-day covered-call strategy generated a net yield of 5.5%. That offset almost a third of the drawdown. But look at the full 4.5-year window and the picture flips: the same unfiltered strategy produced a negative yield of -0.5% (-0.1% annualized). The culprit is Bitcoin's tendency to rip higher in sustained, autocorrelated rallies, which forces short-call writers to sell their upside too cheap.
BTC options open interest has ballooned roughly ten-fold over the past five years, briefly topping $100 billion at the end of 2025 and hovering around $60 billion during the study period. IBIT options, which launched in late 2024, have already grown to rival Deribit as a top venue for BTC options. That liquidity boom has made covered-call strategies more accessible but no less risky.
'Picking up pennies in front of a steamroller'
Anchorage describes the core problem bluntly: it's 'picking up pennies in front of a steamroller.' Bitcoin's upside volatility risk premium averaged roughly two to three times that of equity benchmarks like SPY and QQQ post-2024. That means the premium sellers collect often isn't enough to compensate for the occasional explosive rally that blows through the strike.
The study does point to a workaround. A disciplined version with filters — avoiding strongly bullish trends, only selling when implied volatility is above its 90-day average, using a 75% take-profit, a delta stop-loss, and a 2-day buffer — gave a covered-call contribution of 23.7% over the full period (5.2% annualized). The catch: it was in the market only 44% of the time. It wasn't a strategy as much as a timing game.
The productive corridor
Anchorage identified that the sweet spot for covered calls is selling 10- to 25-delta calls with expiries of at least 21 days. At the one-year horizon, positive-yield rates across that corridor were observed. The implication is that shorter-dated or deeper out-of-the-money calls often fail to generate enough premium to matter, while closer-to-the-money calls get steamrolled when BTC moves.
For institutions piling into options-based yield products, the message is clear: the vanilla version has been a losing bet over the long run. The filtered version works, but only if you're willing to sit out more than half the time. The next question is whether the market can absorb that kind of discipline at scale.
