# Пов'язані статті щодо Tail Risk

If You Bought One Deep OTM Bitcoin Put Option Every Month Since 2018, Could You Make Money in the Long Run?

Based on a systematic backtest from 2018 to 2026, this study examines the long-term profitability of a monthly strategy of buying one deep out-of-the-money (OTM) put option on Bitcoin (BTC) and Ethereum (ETH), with a target delta of 0.01 and a 30-day expiration. The results are highly divergent. The strategy is not a stable source of profit but a classic, path-dependent tail insurance tool characterized by extreme right skew, very low win rates, and severe drawdowns. For BTC, the strategy yielded a final total return of 97.62% (CAGR: 8.66%), while for ETH, it resulted in a -73.07% loss (CAGR: -14.78%). The performance difference is attributed to BTC's extreme payouts being sufficient to cover the long-term cost of premiums, whereas ETH's were not. Key characteristics of the strategy include: * Extremely low win rates (BTC: 2.04%, ETH: 1.02%). * Catastrophic maximum drawdowns (BTC: -97.24%, ETH: -93.82%). * The median trade return was -100% for both assets. * Profits are driven entirely by a few extreme winning trades, with the top 5 trades contributing over 10x the net profit for BTC. * Notably, not all major market crashes (e.g., March 2020, LUNA, FTX) resulted in profitable positions due to timing and strike price placement. Parameter sensitivity analysis showed that a delta of 0.02 offered a more balanced risk-return profile across metrics. The strategy is best suited for investors who can tolerate years of continuous losses, view it as portfolio insurance rather than a primary alpha generator, and seek convexity against extreme downside events. It is not suitable for those seeking stable returns or with low risk tolerance.

marsbit03/16 11:11