AlgoQuant - Options Execution Researcher
Requirements
• ● Strong quantitative background in maths, physics, financial engineering, or computerscience● Deep understanding of options pricing theory — Black-Scholes, stochastic vol models(Heston, SABR, local vol), and their practical limitations● Hands-on experience building execution models or systematic options strategies, either ata trading firm, hedge fund, or structured products desk● Familiarity with crypto derivatives markets (Deribit, OKX, Bybit) and their structuraldifferences from TradFi options markets● Strong Python; C++ a significant plus for latency-sensitive execution work● Rigorous approach to backtesting options strategies — experienced with the pitfalls of pathdependency, vol model overfitting, and slippage estimation● Self-directed with a strong sense of ownership — comfortable driving research from idea toproduction without hand-holding● For senior candidates: a live, attributable track record in options market making, vol arb, orsystematic derivatives trading
Responsibilities
• ● Build and maintain options pricing and valuation models calibrated to digital asset volmarkets● Develop execution algorithms for options and structured derivatives: entry/exit timing,hedging logic, and delta management● Research volatility dynamics across crypto markets — term structure, skew, realised vsimplied, and cross-asset relationships● Analyse microstructure on options venues to improve fill quality and reduce execution costs● Construct and maintain backtests for options strategies with accurate handling of pathdependency, margin, and transaction costs● Collaborate with engineers to deploy execution models into live infrastructure● Monitor live strategy Greeks and P&L attribution in real time, iterate on models as marketsevolve
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