Overview
The organization is seeking an Options Execution Researcher to build and optimize systematic execution and pricing models for digital asset derivatives. This role sits at the intersection of quantitative research and live trading—responsible for models that determine how options are traded, not just analyzed.
Responsibilities
- Build and maintain options pricing and valuation models calibrated to digital asset volatility markets.
- Develop execution algorithms for options and structured derivatives, including entry/exit timing, hedging logic, and delta management.
- Research volatility dynamics across crypto markets, including term structure, skew, realized vs implied, and cross-asset relationships.
- Analyze microstructure on options venues to improve fill quality and reduce execution costs.
- Construct and maintain backtests for options strategies with accurate handling of path dependency, 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, iterating on models as markets evolve.
Requirements
- Strong quantitative background in mathematics, physics, financial engineering, or computer science.
- Deep understanding of options pricing theory, including Black-Scholes and stochastic volatility models (Heston, SABR, local vol), plus practical limitations.
- Hands-on experience building execution models or systematic options strategies, at a trading firm, hedge fund, or structured products desk.
- Familiarity with crypto derivatives markets (Deribit, OKX, Bybit) and their structural differences from TradFi options markets.
- Strong Python; C++ is a significant plus for latency-sensitive execution work.
- Rigorous approach to backtesting options strategies, including experience with pitfalls such as path dependency, volatility model overfitting, and slippage estimation.
- Self-directed approach with a strong sense of ownership; able to drive research from idea to production.
- For senior candidates: a live, attributable track record in options market making, volatility arbitrage, or systematic derivatives trading.
Location
- Dubai (preferred)
- London
- New York
Reports to: Head of Research
Rolling start