> Regardless of which routing protocol I use, I run into the same problem. 
> I can't find a way to configure this on OpenBSD.

Given you only want the /32 you can't use the address (with netmask)
directly from the interface.

You could do this with bgpd by *not* announcing it directly from
bgpd.conf but instead run something that monitors the DHCP address, and
uses "bgpctl network flush" and "bgpctl network add $ip/32".

Or you could monitor the DHCP address and add that same address but
with a /32 netmask to a new loopback interface (e.g. lo1) and redistribute
that loopback address.

Either way, to monitor the dhcp address you can watch
/var/db/dhclient.leases.$iface, you can try entr (in packages) to
trigger on updates rather than polling.

> Is this such an exotic set-up?

Yes.

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