Yes. Some employers allow for SDBA accounts, but there can be crazy constraints on moving funds into them and trading. Typically along the lines of...

1) Before funds can move to the SDBA, they have to be "at risk" in one of the crappy generic mutual funds the plan offers for like 90 days
2) No more than 50% of value of the account may be moved to the SDBA. This limits your potential upside
3) SDBAs dont get access to OTC stocks which made GBTC inaccessible in such accounts prior to ETF. Even still there may be other restrictions that you discover as you go
4) AFAIK, no SDBA provider enumerates what stocks they allow or disallow trading until the account is formed and funded. Your best bet is to find what broker your plan uses and then ask someone also using that broker for sdba if they have access to securities you are interested in.

If you have access to an SDBA and plan to keep the job, it offers the most control while staying in your 401k