Risk manage a large portfolio of volatility products (vanilla options, variance swaps, volatility swaps, options on variance swaps, delta-one swaps) involving the VIX as well as their respective listed ETFs and ETNs. The primary role would be build and develop our VIX market making business by closely working with members of the Flow Index Derivatives desk, Quantitative Research / Strategists, cross-asset marketing teams, and the Equity Derivatives sales team in order to produce customized investment solutions to our institutional client base. Additionally, work with Technology towards building trading tools, data analytics, and improve risk management systems to improve the overall trading platform within VIX market making. Develop trading tools that help price and risk manage large illiquid Volatility risk by identifying arbitrage opportunities between VIX-based products, vanilla SPX options, SPX variance / forward starting variance, and their respective ETPs / futures. Coordinate with technology, quantitative research, and market risk to develop a more robust and quantitative approach to risk management and develop tools to analyze VIX flows and their impact on the volatility market.
• Bachelor’s degree or equivalent Financial Engineering, Applied Mathematics, Computational Finance, or a related quantitative field.
• 3-5 years trading experience. Must have experience in risk management, pricing, and facilitating client requests in VIX options, vol of vol products and other derivative products
• Must have knowledge of differential equations, calculus and numerical methods
• Experience utilizing local volatility models, stochastic volatility models, and interest rate stochastic models to price and analyze the risk of equity and hybrid financial derivatives
• Must have experience market making, facilitating and trading VIX options in order to provide our institutional clients tailor-made solutions to their investment needs
• Have a basic knowledge of rates, credit, FX and commodity options
• Must have strong economic knowledge and be able to formulate precise macro views
• Must be entrepreneurial to lead open-ended projects sitting between trading, quantitative research and cutting-edge technology
• Series 7,63,55
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