Gate Research: Options Selling and Bitcoin Dual Investment Strategies

Dual-currency investment has attracted attention due to its simple structure and transparent returns, yet the market lacks systematic, cycle-based quantitative research and analysis of optimal entry points. This study constructs a backtesting framework in four steps: first, segmenting Bitcoin market cycles using trend and standard deviation; second, verifying that implied volatility (IV) in Bitcoin responds to both upward and downward movements, making it an effective entry signal; third, establishing “buy low / sell high” rules based on market phase; and fourth, estimating dual-currency APR using a simplified Black-Scholes model. Results indicate that the dual-factor framework of “IV-based entry + cycle-driven direction” effectively captures volatility premiums, performs particularly well in sideways markets, delivers stable returns, and supports reinvestment, providing a practical path for systematizing dual-currency investment strategies.

• 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.

Discover more details: Gate Research: Options Selling and Bitcoin Dual Investment Strategies

Gate Research is a comprehensive blockchain and cryptocurrency research platform that provides deep content for readers, including technical analysis, market insights, industry research, trend forecasting, and macroeconomic policy analysis.

Disclaimer

Investing in cryptocurrency markets involves high risk. Users are advised to conduct their own research and fully understand the nature of the assets and products before making any investment decisions. Gate is not responsible for any losses or damages arising from such decisions.

Gate Team

Gateway to Crypto
Trade over 4,400 cryptocurrencies safely, quickly, and easily on Gate
Take Action Now
Sign up and claim up to $10,000 in welcome rewards
Invite friends and earn a 40% commission
Stay Connected
Visit Gate's official website
Download the Gate App | Desktop
Follow us on X (Twitter) to get more bonuses
Join our Telegram community to discuss trending topics
Engage with our global community for the latest insights
Transparency & Security
Check our 100% Proof of Reserves