Gate Research: Options Selling and Bitcoin Dual Investment Strategies

Key Takeaways

• Overview of the Dual-Currency Investment Mechanism: Dual-currency investment is a structured product centered on “yield on held assets + conditional asset conversion.” Investors earn a fixed return during the lock-up period, while whether the principal is converted at maturity depends on whether the underlying price reaches a preset target level. In essence, the investor sells a short-dated option via the platform, with returns derived from the option premium. Dual-currency products exhibit behavior similar to option Greeks and represent a productized return structure combining “option premium income + compensation for principal lock-up.”
• Bitcoin Market Cycle Classification: Using technical indicators, the Bitcoin market is divided into bull, range-bound, and bear markets to characterize the risk–return profile of dual-currency investment as an option-selling strategy across different cycles. Specifically, MA100 along with its ±1σ and ±2σ rolling standard deviation bands are used for visualization. The results indicate that since 2023, the market has primarily remained in bull and range-bound phases, with no typical bear market observed.

• Dual-Currency Investment Strategy Design: Entry timing for dual-currency investments should align with option pricing and volatility structure. “Sell High / Buy Low” corresponds respectively to Sell Call and Sell Put strategies, with the execution direction determined by market regime. The strategy uses elevated implied volatility as a unified entry signal: favoring sell-high positions toward the late stage of bull markets or during range-bound markets, and favoring buy-low positions during range-bound markets or toward the end of bear markets, thereby locking in higher option premiums during volatility expansions and improving overall return efficiency.

• Empirical Analysis: To validate the strategy, 7-day dual-currency “sell high / buy low” backtests are conducted during high-IV windows, incorporating market cycle classification and the MA100 ±2σ framework, with APR estimated using option pricing models. Results show that on high-volatility trading days, the strategy achieves APRs in the range of 109%–253% across bull and range-bound markets, confirming the effectiveness of the “IV-based entry + cycle-oriented positioning” approach, while also highlighting the need for more refined risk controls and parameter optimization in strongly trending markets.

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