Anchorage Squarely Targets Bitcoin Covered Call Trap..."A Strategy That Cuts Off Its Own Returns"

▲ Bitcoin (BTC)/AI Generated Image

A warning has emerged that while the covered call strategy, which aims to generate profits from Bitcoin, has been effective in defending against bear markets, it could become a trap that self-limits profits when a strong bull market arrives.

According to crypto media outlet NewsBTC on May 30 (local time), Anchorage Digital stated that while a covered-call strategy for Bitcoin (BTC) holders can create synthetic returns, it requires strict operational discipline. David Lawant, Head of Research at Anchorage Digital, analyzed that a strategy of selling Bitcoin's upside potential can reduce losses in weak markets, but it can significantly limit profits in strong bull markets.

This study simulated Bitcoin covered call strategies on an hourly basis, based on Deribit's implied volatility curve. The analysis period was from October 2021 to April 2026. Anchorage Digital conducted over 37,000 backtests based on all possible entry points.

Anchorage Digital assessed that the Bitcoin options market has grown into a market worth considering for institutional investors. Bitcoin options nominal open interest has increased approximately tenfold over the past five years. This volume briefly exceeded $100 billion at the end of 2025, and stood at approximately $60 billion at the time of the study. The report explained that this figure is larger than the total open interest in the Bitcoin futures market.

IBIT options were also identified as a factor that changed the market structure. IBIT options grew rapidly after their launch at the end of 2024. Anchorage Digital viewed IBIT as having emerged as a major market competing with Deribit in Bitcoin options open interest and trading activity. The Bitcoin options market, from an institutional perspective, is assessed to be deeper and more accessible than it was 18 months ago.

A simple 20-delta 30-day covered call strategy generated a net return of 5.5% from April 30, 2025, to April 30, 2026. During the same period, Bitcoin spot fell by 19.4%. However, applying the strategy for the entire period without filters resulted in a 0.5% loss, or an annualized loss of 0.1%. When trend and implied volatility filters were applied, the contribution over the entire period increased to 23.7%, and the annualized return reached 5.2%. The Sharpe ratio also improved from 0.20 to 0.30.

Anchorage Digital suggested productive strategy ranges of 10 to 25 delta and maturities of 21 days or more. The report's conclusion is clear: covered calls can help Bitcoin holders manage risk in sideways and bear markets. However, it is also a strategy with a structural limitation of capping upside profits in strong bull markets.

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