Options Execution Researcher

Job Description

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)
• 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 (e.g., Deribit, OKX, Bybit)
• Strong proficiency in Python
• Rigorous approach to backtesting with experience managing pitfalls like slippage estimation and model overfitting

Preferred

• Knowledge of C++ for latency-sensitive execution work
• For senior candidates: a live, attributable track record in options market making, volatility arbitrage, or systematic derivatives trading

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, focusing on term structure, skew, and cross-asset relationships
• Analyse microstructure on options venues to improve fill quality and reduce execution costs
• Construct and maintain rigorous backtests for options strategies, accounting for path dependency, margin, and transaction costs
• Collaborate with engineers to deploy execution models into live production infrastructure
• Monitor live strategy Greeks and P&L attribution in real time to iterate on models

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