Grayscale: Bitcoin covered call option strategy may yield an annualized return of around 22% in a sideways market

According to Odaily, Grayscale's Head of Research Zach Pandl stated on July 15, 2026, that if Bitcoin's price has formed a solid bottom but remains range-bound before recovery, a covered call option strategy can generate income from Bitcoin's volatility while managing spot price exposure.

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.