Gate Research Institute: Becoming an Options Seller, Bitcoin Dual-Currency Investment Trading Strategy

Summary

• Introduction to Dual-Currency Investment Mechanism: Dual-currency investment is a structured product centered on “holding coins for interest + conditional currency exchange.” Investors receive fixed returns within the lock-up period, and whether to exchange currencies at maturity depends on whether the underlying asset price hits the preset target price. Essentially, investors sell short-term options through the platform, with returns derived from the conversion of option premiums. Dual-currency investments exhibit behaviors similar to option Greek letters and are productized as “option premium + principal lock-in compensation” revenue structures.
• Bitcoin Market Cycle Classification: The Bitcoin market is divided into bull, sideways, and bear markets using technical indicators to characterize the risk and return features of the “selling options” strategy employed by dual-currency investments during different cycles. The specific method involves visualizing based on MA100 and its ±1σ, ±2σ rolling standard deviations. Results show that since 2023, the market has mainly been in bull and sideways phases, with no typical bear market observed.

• Dual-Currency Investment Trading Strategy Setup: The timing for entering dual-currency investments must align with option pricing and volatility structures. “High sell / Low buy” correspond to Sell Call and Sell Put respectively, and the execution direction should be chosen according to different market stages. The strategy uses high implied volatility as a unified entry signal. Toward the end of a bull market or during sideways markets, it leans toward high sell, while in sideways or bear markets, it favors low buy, aiming to lock in higher premiums during periods of increased volatility and improve overall收益效率.

• Empirical Analysis: To verify the feasibility of the strategy, backtests of 7-day dual-currency “high sell / low buy” based on IV high volatility windows, combined with market cycles and MA100 ±2σ rules, were conducted. Option pricing models were used to estimate APR. Results show that on high volatility trading days, the strategy achieved APR ranges of 109%–253% in bull and sideways markets, validating the “IV entry + cyclical orientation” approach. However, in unidirectional markets, more refined risk control and parameter optimization are still necessary.

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