Grayscale: Bitcoin covered call option strategy may yield an annualized return of around 22% in a sideways market
Grayscale assumes a Bitcoin spot price of $65,000 and an implied volatility of 40%, projecting through the end of 2026. Under this scenario, the annualized return of the covered call strategy is approximately 22%, maintains profitability above a break-even price of around $58,500, and outperforms simply holding spot Bitcoin until Bitcoin reaches about $72,500 at expiration.
Pandl pointed out that option premiums provide income and downside protection at the cost of giving up some upside if Bitcoin experiences a significant rally. If the Bitcoin spot price falls below the break-even price, the strategy will still incur losses, but the losses will be less than directly buying spot Bitcoin, with the difference being equivalent to the call option premiums.
Grayscale's Grayscale Bitcoin Covered Call ETF, ticker BTCC, aims to maximize income generation potential through covered call writing. The fund does not directly invest in digital assets or initial coin offerings but instead gains indirect digital asset exposure through derivatives related to exchange-traded products holding digital assets.
Disclaimer: The content of this article solely reflects the author's opinion and does not represent the platform in any capacity. This article is not intended to serve as a reference for making investment decisions.
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