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Expanding Access to Cryptocurrency with Cboe's New Spot Bitcoin ETF BuyWrite Indices

As the use of digital assets continues to evolve, Cboe is building upon its derivatives expertise to help market participants gain access to digital assets through familiar tools. As part of its effort to grow this ecosystem, Cboe recently launched its first suite of BuyWrite indices on a spot bitcoin Exchange Traded Fund (ETF).

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As the use of digital assets continues to evolve, Cboe is building upon its derivatives expertise to help market participants gain access to digital assets through familiar tools. As part of its effort to grow this ecosystem, Cboe recently launched its first suite of BuyWrite indices on a spot bitcoin Exchange Traded Fund (ETF). These indices are the first option-based indices in the market that track the performance of systematic covered call strategies on a spot bitcoin ETF. The underlying of the ATM and OTM indices is the Grayscale Bitcoin Trust ETF GBTC. They are part of Cboe’s efforts to bring traditional options-based income strategies to the digital asset market, offering market participants new avenues for accessing cryptocurrency exposure while managing risk.

The Cboe GBTC ATM BuyWrite Index (BXGBTCA) is designed to track the performance of a monthly covered call strategy with a synthetic long exposure to GBTC and a short at-the-money call option on GBTC. The Cboe GBTC 20% OTM BuyWrite Index (BXGBTCT) has a similar design with a short 20% OTM call option on GBTC.

Access to Bitcoin

BXGBTCA and BXGBTCT don’t directly hold Bitcoin but instead track Grayscale Bitcoin Trust (GBTC), a Bitcoin ETF, through options contracts. By doing so, they provide investors with exposure to Bitcoin without needing to directly hold the cryptocurrency.

Bitcoin Risk Premium

Bitcoin’s volatility has remained elevated since the launch of spot Bitcoin ETFs in January 2024. GBTC’s annualized volatility has exceeded 50% since November 21, 2024. Not surprisingly, there is growing interest in income-generating strategies that collect Bitcoin risk premium and mitigate volatility.

BXGBTCA and BXGBTCT aim to measure the performance of these income-based strategies that use GBTC call premiums to cushion against Bitcoin’s volatile price swings. However, they are designed for slightly different purposes.

BXGBTCA prioritizes income generation by systematically writing calls close to spot prices. The rich premium collected upfront could potentially reduce loss in the case of market downturns. The strategy tends to outperform when the market stays flat or rapidly declines, but underperform in a quick market rally.

Alternatively, BXGBTCT attempts to balance income and growth. It writes call options at much higher strike prices, allowing investors to benefit from the potential rise of the underlying. The call premium is less than that in BXGBTCA.

Performance

The Bitcoin market has experienced significant ups and downs since last November, and the indices have performed as designed. Rich options premium helped BXGBTCA to post a positive return, even when the underlying asset ended in red. It also successfully reduced the overall volatility by approximately 80%. BXGBTCT has tracked the underlying asset closely.

Exhibit 1: Cumulative Returns (November 21, 2024 – April 30, 2025)

The performance difference can be mainly explained by the option premium collected by the two indices. BXGBTCA monthly option yield was 5.48% on average while BXGBTXT only yielded 1.04% on average, calculated as the bid price of the short call on the roll day divided by the closing price of the underlying.

Exhibit 2: Monthly Option Yield (November 21, 2024 – April 30, 2025)

Cboe’s launch of the GBTC BuyWrite indices is a notable evolution of the derivatives-based cryptocurrency index ecosystem. By offering exposure to Bitcoin through covered call strategies, these indices provide investors with innovative tools to navigate volatility while seeking income. As the demand for sophisticated crypto-linked investment solutions continues to grow, Cboe remains committed to expanding access, enhancing transparency, and driving the evolution of the digital asset ecosystem through thoughtful product innovation and market leadership.

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