Grayscale: Bitcoin Covered Call Strategy Could Yield ~22% Annualized in a Sideways Market
2026-07-20 01:07
Odaily News On July 15, 2026, Grayscale Head of Research Zach Pandl stated that if Bitcoin's price has formed a solid bottom but is moving sideways before a recovery, the covered call strategy can generate income from Bitcoin's volatility while managing spot price exposure.
Grayscale assumed a Bitcoin spot price of $65,000 and an implied volatility of 40%, with projections extending to the end of 2026. Under these assumptions, the covered call strategy would yield an annualized return of approximately 22%, remaining profitable above a breakeven price of roughly $58,500, and outperforming a standalone spot Bitcoin position until Bitcoin reaches approximately $72,500 at expiration.
Pandl noted that the option premium provides income and downside protection, at the cost of ceding some upside potential during a significant Bitcoin rally. If Bitcoin's spot price falls below the breakeven price, the strategy would still incur losses, but the losses are smaller than a direct long spot Bitcoin position, with the difference equaling the call premium.
Grayscale's Grayscale Bitcoin Covered Call ETF trades under the ticker BTCC and aims to maximize income generation potential through covered call writing. The fund does not invest directly in digital assets or initial coin offerings but gains indirect digital asset exposure through derivatives linked to exchange-traded products that hold digital assets.
Grayscale assumed a Bitcoin spot price of $65,000 and an implied volatility of 40%, with projections extending to the end of 2026. Under these assumptions, the covered call strategy would yield an annualized return of approximately 22%, remaining profitable above a breakeven price of roughly $58,500, and outperforming a standalone spot Bitcoin position until Bitcoin reaches approximately $72,500 at expiration.
Pandl noted that the option premium provides income and downside protection, at the cost of ceding some upside potential during a significant Bitcoin rally. If Bitcoin's spot price falls below the breakeven price, the strategy would still incur losses, but the losses are smaller than a direct long spot Bitcoin position, with the difference equaling the call premium.
Grayscale's Grayscale Bitcoin Covered Call ETF trades under the ticker BTCC and aims to maximize income generation potential through covered call writing. The fund does not invest directly in digital assets or initial coin offerings but gains indirect digital asset exposure through derivatives linked to exchange-traded products that hold digital assets.
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