NEOS Bitcoin High Income ETF / anatomy of the trade

BTCI under the hood

Follow every publicly disclosed shift in Treasury collateral, Bitcoin ETPs, and the option book. Official positions stay distinct from roll inferences, and distributions stay distinct from earned return.

official

9 official holdings snapshots span Nov 30, 2024 to Oct 5, 2026. Changes are exact between disclosed endpoints; apparent rolls are labelled as inferred disclosure windows because public filings do not provide every trade timestamp.

Open NEOS source ↗

Net assets$1.42BOct 5, 2026

Treasury sleeve77.6%Market value / NAV

Bitcoin ETP sleeve19%IBIT + HODL market value

Gross option notional210.2%Strike notional / NAV

Cash paid since launch$26.8695.4% estimated ROC

Position reconstruction

Pick a disclosure date, then compare it with an earlier book

Compare from

Oct 5, 2026NEOS full holdings CSV

Allocation history

How the collateral and direct BTC sleeves moved

Options are shown at net market value here. The notional view below captures their much larger economic footprint.

Treasury collateralBitcoin ETPsOptions · net market valueCash / money market

Selected-date anatomy

Balance sheet

derived

Treasury collateral: 77.6%
Bitcoin ETPs: 19%
Options · net market value: 0.4%
Cash / money market: 3%
Other: 0%

Economic footprint

What the options are doing

derived

$2.98Bgross strike notional · 210.2% of NAV

Collateral base$1.10BTreasury market value

→

Synthetic long$1.14BMatched long call + short put

→

Upside sold$692.50MShort-call strike notional

Synthetic notional comes from put-call parity pairs with the same strike and expiry. It is a structural exposure measure, not a live delta estimate. Public N-PORT filings redact option delta.

Position book

9 disclosed positions on Oct 5, 2026

View official filing ↗

Position	Role	Quantity	Market value	Weight	Strike notional	Evidence
United States Treasury Bill 11/03/2026912797VP9	Treasury collateral	784,377,000	$781,929,807	55.2%	—	official
United States Treasury Bill 01/26/2027912797WR4	Treasury collateral	320,958,000	$316,887,794	22.4%	—	official
iShares Bitcoin Trust ETFIBIT	Bitcoin ETPs	5,062,308	$241,623,961	17.1%	—	official
CBTX US 01/15/27 C1980CBTX 270115C01980000	long call · 1,980 · 2027-01-15	5,772	$104,069,160	7.4%	$1.14B	official
CBTX US 01/15/27 P1980CBTX 270115P01980000	short put · 1,980 · 2027-01-15	-5,772	-$82,164,420	-5.8%	$1.14B	official
Cash & OtherCash&Other	Cash / money market	42,749,759	$42,749,759	3%	—	official
VanEck Bitcoin ETF/USHODL	Bitcoin ETPs	1,147,257	$27,350,607	1.9%	—	official
CBTX US 11/20/26 C2120CBTX 261120C02120000	short call · 2,120 · 2026-11-20	-1,603	-$9,481,745	-0.7%	$339.84M	official
CBTX US 11/20/26 C2200CBTX 261120C02200000	short call · 2,200 · 2026-11-20	-1,603	-$6,291,775	-0.4%	$352.66M	official

Options strategy math

How to read this options book

210.2% gross strike notional · +0.4% net option market value

80.7% synthetic long / NAV48.9% calls sold / NAVOpen analysis

Selected-book posture

How BTCI is positioned from Oct 5, 2026

derivedMimic in Options LabOpen current book ↗

Gross strike notional$2.98B210.2% of NAV · long and short legs added without netting

Net option market value$6.13M+0.4% of NAV · current derivative asset less liabilities

Parity-implied CBTX forward2,018Inferred from the matched call-put pair; not BTC spot

Upside retained above both calls44.5%Synthetic-long slope after both short-call quantities; excludes direct ETP holdings

Below 1,980Full synthetic downside

The long call expires out of the money while the short put loses point-for-point below its strike. Treasury collateral does not make this principal-protected.

1,980 to 2,120Full synthetic upside

The matched call-put pair behaves like a long forward and the income calls remain out of the money.

2,120 to 2,200Upside is progressively sold

Each short call that finishes in the money offsets part of the synthetic long. The exact retained slope depends on contract counts.

Above 2,20044.5% synthetic slope remains

The fund can continue to participate, but materially less than an uncapped synthetic long—before adding its direct Bitcoin ETP sleeve.

Yield versus cash paid

What the public record can actually establish

official

Published distribution rate25.6%Annualizes the latest payout as of Aug 31, 2026; not total return.

Trailing 12-month distribution rate36.5%Cash distributions relative to NAV; it may include return of capital.

30-day SEC yield1.4%Standardized fund income measure, materially below the payout rate.

Latest reported option result−12.3%2026-04–2026-06 realized + unrealized option result / ending NAV

There is no defensible “option yield” in the public holdings file. Original premiums and trade dates are not disclosed, and N-PORT combines realized and unrealized results from the synthetic BTC exposure with the short-call overlay. The calls generate their best premium outcome when CBTX finishes at or below their strikes, but BTCI can still pay a distribution by returning capital; the payout alone does not prove the strategy earned that amount.

Contract map

How far each leg sits from the inferred reference

CBTX is a cash-settled Bitcoin ETF index with a $100 multiplier. Distance uses the matched call-put parity forward, not live BTC spot.

Leg	Expiry	DTE	Contracts	Strike	Distance	Market value	Strike notional	Economic role / condition
shortcall	Nov 20, 2026	46	1,603	2,120	+5.1%	−$9.48M	$339.84M	Income overlay; best premium outcome at or below strike, but caps upside above it.
shortcall	Nov 20, 2026	46	1,603	2,200	+9%	−$6.29M	$352.66M	Income overlay; best premium outcome at or below strike, but caps upside above it.
longcall	Jan 15, 2027	102	5,772	1,980	−1.9%	$104.07M	$1.14B	Synthetic-long upside; exact breakeven needs original premium.
shortput	Jan 15, 2027	102	5,772	1,980	−1.9%	−$82.16M	$1.14B	Synthetic-long downside obligation; keeps premium only if above strike.

Why “210% options” is not 210% cash invested

Strike notional measures reference exposure. Market value measures today’s position value.

contracts×$100 multiplier×strike=strike notional

Gross notional double-counts offsetting legs. A long call and short put at the same strike each enter the gross total, even though together they form one synthetic-long exposure.
Market value can be small or negative. Long-option assets and written-option liabilities offset, so a 210.2% gross book currently nets to +0.4% of NAV.
Since inception, the architecture has been persistent. Across 9 disclosed books through this date, gross option notional ranged from 159.4% to 250.8% of NAV while net option market value ranged from −22.5% to +5.3%.

Exact premium yield, trade-level breakevens, live delta, and BTC-equivalent moneyness require the manager’s transaction ledger or contemporaneous CBTX quotes. The filing supports payoff-shape analysis, not a complete attribution of monthly distributions.

Change ledger

Jun 30, 2026 → Oct 5, 2026

16 observable position changes

roll in

CBTX US 01/15/27 C1980Options · net market value · change occurred inside this disclosure window

Quantity: +5,772
Weight: +7.4%

inferred

roll in

CBTX US 01/15/27 P1980Options · net market value · change occurred inside this disclosure window

Quantity: −5,772
Weight: −5.8%

inferred

roll in

CBTX US 11/20/26 C2120Options · net market value · change occurred inside this disclosure window

Quantity: −1,603
Weight: −0.7%

inferred

roll in

CBTX US 11/20/26 C2200Options · net market value · change occurred inside this disclosure window

Quantity: −1,603
Weight: −0.4%

inferred

opened

United States Treasury Bill 11/03/2026Treasury collateral · change occurred inside this disclosure window

Quantity: +784,377,000
Weight: +55.2%

derived

opened

United States Treasury Bill 01/26/2027Treasury collateral · change occurred inside this disclosure window

Quantity: +320,958,000
Weight: +22.4%

derived

opened

Cash & OtherCash / money market · change occurred inside this disclosure window

Quantity: +42,749,759
Weight: +3%

derived

increased

iShares Bitcoin Trust ETFBitcoin ETPs · change occurred inside this disclosure window

Quantity: +261,118
Weight: +1.5%

derived

decreased

VanEck Bitcoin ETF/USBitcoin ETPs · change occurred inside this disclosure window

Quantity: −4,159,061
Weight: −6.7%

derived

roll out

CBTX US 07/17/26 P1600Options · net market value · change occurred inside this disclosure window

Quantity: +5,543
Weight: +11.6%

inferred

roll out

CBTX US 07/17/26 C1600Options · net market value · change occurred inside this disclosure window

Quantity: −5,543
Weight: −0.3%

inferred

roll out

CBTX US 07/17/26 C1840Options · net market value · change occurred inside this disclosure window

Quantity: +1,793
Weight: +0.1%

inferred

roll out

CBTX US 07/17/26 C1910Options · net market value · change occurred inside this disclosure window

Quantity: +1,793
Weight: +0.1%

inferred

closed

United States Treasury Bill 2026-08-04Treasury collateral · change occurred inside this disclosure window

Quantity: −888,819,000
Weight: −86.3%

derived

closed

First American Treasury Obligations FundOther · change occurred inside this disclosure window

Quantity: −11,219,277
Weight: −1.1%

derived

closed

Northern US Government Select Money Market FundCash / money market · change occurred inside this disclosure window

Quantity: −968
Weight: −0%

derived

Distribution ≠ yield

Separate cash paid from value created

BTCI paid $26.86 per share from launch through September 2026. The contemporaneous Rule 19a-1 notices estimated that 95.4% was return of capital. That cash can be useful, but returning investor capital is not option profit.

Economic returnΔ NAV+distributions=total returnOption premium collected is a cash flow; net option P&L is the return.

Cash distributed$26.86Per share since inception

Estimated return of capital$25.6295.4% of distributed cash

Estimated book income$1.2519a-1 estimate, not final tax character

Published NAV total return16.9%Through Sep 30, 2026

Bitcoin index total return23.4%Same published inception window

30-day SEC yield1.4%Income formula · Aug 31, 2026

Monthly cash record

Official payout per share since launch

Hover any month for its verified cash payout and preliminary 19a-1 composition. Orange is estimated book income; gray is estimated return of capital.

Latest verified payoutSep 18, 2026

Paid / share: $0.72
Monthly change: +14.2%
Estimated book income: $0.04
Estimated return of capital: $0.68 · 95%
Annualized cash run-rate: $8.62

Cash payout is official. Composition is the preliminary Rule 19a-1 book estimate.

Monthly payouts checked24 / 24Against NEOS distribution history

Published distribution rate25.6%As of Aug 31, 2026

Trailing 12-month rate36.5%Official NEOS rate · same as-of date

30-day SEC yield1.4%Not the cash distribution rate

Three-part bridge

What the filings can prove

inferred

Treasury / ordinary income1.4% SEC yieldFund-level 30-day income measure; not the T-bill coupon alone.

Option resultNot reported for this dateChoose an SEC N-PORT snapshot for the reported return window.

Non-option holdings resultNot reported for this dateBTC ETPs, Treasuries, cash and other non-option investments combined in N-PORT.

Fees0.99%Annual operating expense ratio.

UBTC read-across

What transfers—and what does not

Transfers: A Treasury collateral base can support a much larger derivative exposure while maintaining a liquid public wrapper.
Transfers: Bitcoin volatility can fund cash distributions, but gross premium is not the same thing as durable yield.
Does not transfer: BTCI has no fixed redemption claim or principal guarantee; its NAV absorbs Bitcoin losses immediately.
Watch closely: Upside sold through short calls can make the strategy lag Bitcoin sharply during fast rallies.

Source discipline

Audit trail and limitations

NEOS BTCI fund pageNAV, performance, distributions, current holdings↗SEC N-PORT filingsOfficial historical holdings and return categories↗NEOS Rule 19a-1 noticesEstimated monthly distribution composition↗

Snapshot deltas show what changed between two reporting dates, not the transaction sequence inside that interval. Rule 19a-1 classifications are preliminary book estimates. Exact daily trades, option premiums collected, and live delta require manager records or a vendor holdings archive.