Options Quant Researcher

We’re looking for a Quant Researcher with hands-on experience applying volatility models in live trading in TradFi markets. 

We expect the candidate to:

• Have practical experience calibrating volatility surfaces on real market data
  • Including handling gaps, latency issues and so on to effectively use realistic data available in the market
  • MFT’ish research is must. HFT is nice to have.
• Understand how to enforce smoothness, arbitrage-free conditions, and temporal stability
• Be able to tune and debug models under realistic market conditions – including bid/ask spreads, noise, and incomplete markets
• Design and implement logic for position-driven dynamic surface shaping, including:
  • How current portfolio Greeks (vega, gamma, skew) should influence surface parameters such as skew, curvature, and wing behavior
  • Hands-on experience is required for dynamically adapting surface shape based on current exposure
• Ability to identify, model, and mitigate residual noise in implied volatility surfaces, especially:
  • near expiry,
  • around illiquid strikes,
  • or in event-driven conditions.