Quantitative Researcher - Equity Volatility.

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Quantitative Researcher – Equity Volatility, London

Millennium, a leading global investment management firm, is assembling a new specialized team of engineers, quants, and data scientists to design, build, deploy, and operate their next-generation research and trading capabilities. The VAD team (Volatility Alpha Development) works jointly with portfolio managers, trading, and operations. The culture of the team is entrepreneurial, where work/life balance, ownership, and excellence are highly valued.

Responsibilities:

• Work closely with other team members to focus on data generation, alpha research, tools, and analytics focusing on vol trading space.
• Interact with portfolio managers to gather requirements, discuss modelling approaches, and methodologies for research, valuation, and risk.

Requirements:

• Substantial experience with equity derivatives modelling, vol surface fitting, and backtesting systems.
• Experience with Python, q/kdb+, SQL, parallel/cloud computing, Unix, Airflow.
• Solid familiarity with equity derivatives markets, including listed options, futures, variance swaps, VIX, and other derivatives.
• Some knowledge of common volatility trading strategies including dispersion, relative value, VIX complex.
• Some experience working with large datasets, including options order-book and tick data.
• Strong analytical and mathematical skills, problem-solving capabilities, and communication skills.
• Able to work independently in a fast-paced environment.
• Detail-oriented, organized, demonstrating thoroughness and strong ownership of work.

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