Anchorage Warns Bitcoin Yield Trade Could Cap Gains If BTC Rips Higher

Anchorage Digital’s research finds systematic Bitcoin covered-call strategies can produce reliable income and reduce drawdowns in flat or falling markets but sharply limit upside during strong BTC rallies. Using 37,000+ hourly backtests from October 2021–April 2026, Anchorage shows a simple 20-delta, 30-day covered-call overlay returned 5.5% from April 30, 2025–April 30, 2026 while spot BTC fell 19.4%, offsetting roughly one-third of the drawdown. Over the full sample the unfiltered strategy lost 0.5% (−0.1% annualized), but applying regime and IV filters boosted contribution to 23.7% (5.2% annualized) and improved Sharpe from 0.20 to 0.30 while being active 44% of the time. The paper highlights a productive corridor of 10–25 delta with expiries ≥21 days and warns that widespread use of the trade could cap upside participation during violent bull markets. Market implication: options overlays need active regime-based management or they risk underperforming in major BTC rallies.