Grayscale: Bitcoin Covered Call Strategy Could Yield 22% Annualized Returns in Sideways Market

BTC1.06%
According to Grayscale Research Chief Zach Pandl on July 15, 2026, if Bitcoin forms a solid bottom but trades sideways before recovery, a covered call strategy can generate income from Bitcoin volatility while managing spot price exposure. Assuming a spot price of $65,000 and 40% implied volatility through year-end 2026, Grayscale calculated an annualized return of approximately 22% for the strategy, with breakeven at $58,500 and outperformance versus spot Bitcoin holdings if BTC reaches $72,500 at expiration. Pandl noted that option premiums provide income and downside protection, but the tradeoff is forgoing upside gains if Bitcoin rallies significantly; losses remain lower than spot holdings if prices fall below breakeven.
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