Zach Pandl: Bitcoin backed call option strategy with an annualized return of approximately 22%

Grayscale research director Zach Pandl stated that when Bitcoin prices are sideways, covered call option strategies can generate income through volatility. Grayscale assumes that the spot price of Bitcoin is $65000 and the implied volatility is 40%. It calculates that the annualized return of this strategy is about 22%, maintaining profitability above the breakeven price of $58500 and outperforming spot holdings before the Bitcoin price reaches $72500. The option premium provides income and downside protection, at the cost of giving up some upside space. If the spot price falls below the breakeven price, the loss margin of this strategy is lower than directly long spot. Grayscale's Grayscale Bitcoin Covered Call ETF, with the code BTCC, obtains indirect digital asset exposure through derivatives.