GBM Public - Quantitative Researcher – Systematic Option Strategies – FICC Global Currencies and Emerging Markets Strats, VP – New York
About The Position
The FICC and Equities Quantitative Strategists team works with Traders to turn quantitative research into solutions deployed in live markets. The Global Currencies and Emerging Markets (GCEM) Strats team develops quantitative research, models and technology to address market and risk-management problems. This role focuses on Systematic Option Strategies, partnering with the trading desk to research, test and implement systematic approaches to market-making, signal generation and enhanced risk management across global macro markets. The researcher will help shape the Systematic Option Strategies research agenda, taking market observations and trading hypotheses through data analysis, model development, validation, strategy implementation and live deployment. The work primarily concerns systematic FX options and volatility, though relevant experience may come from other liquid macro asset classes. The role develops forecasting and prediction models, signals and systematic hedging strategies with attention to transaction costs, liquidity, tail risk, capacity and robustness across market regimes. It involves close collaboration with Researchers and Traders and use of public and proprietary firm data, with research intended to produce measurable commercial impact.
Requirements
- MS or PhD in statistics, mathematics, physics, computer science, engineering, operations research, econometrics, quantitative finance or a related quantitative discipline.
- Typically 4–8 years of applied quantitative research experience in systematic options or volatility trading, systematic macro, derivatives, cross-asset relative value, statistical arbitrage or a closely related area.
- Demonstrated experience developing and validating predictive models, signals, strategies or systematic hedging approaches.
- Strong understanding of options, volatility and risk, including Greeks, volatility surfaces, carry and roll-down, P&L attribution, transaction costs and tail behavior.
- Experience with options in FX, equities, rates, commodities or another liquid macro asset class.
- Strong foundation in statistics, probability, time-series analysis, econometrics, machine learning, optimization and experimental design.
- Strong programming skills and experience with large market datasets, research pipelines and backtesting frameworks.
- Track record of independent research ownership, sound judgment, and a rigorous and diligent analytical approach.
- Clear written and verbal communication skills, intellectual honesty, high standards, and ability to work effectively in a fast-paced collaborative environment.
Nice To Haves
- Cross-asset experience is valued.
- Proficiency in Python, Java or similar programming languages is beneficial.
Responsibilities
- Originate and test systematic option market-making approaches using a diverse range of techniques and signals.
- Develop volatility-market forecasting models that capture skew, smile, term structure, carry effects, cross-asset relationships and market regimes.
- Design and implement systematic hedging strategies for vega and related risks, balancing expected P&L, transaction costs, liquidity, basis and tail risks under real market constraints.
- Own the research process from idea generation and data processing through hypothesis design, feature engineering, backtesting and validation, portfolio construction, and performance attribution.
- Apply robust research standards, including bias controls, regime and stress analysis, sensitivity testing, realistic implementation assumptions and clear documentation.
- Assess the production performance of deployed research and refine models as markets evolve.
- Partner with Traders to understand and apply institutional knowledge of market structure and function to research.
- Build reusable analytical tools and contribute to shared research infrastructure, data standards and best practices.
- Communicate methods, assumptions, risks and results clearly to Trading and senior stakeholders.
Benefits
- Competitive benefits and wellness offerings.
- Potential eligibility for a discretionary bonus for active employees as of fiscal year-end.
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What This Job Offers
Job Type
Full-time
Career Level
Senior
