horizontal_split 2 years, 5 months
• Collaborating with clients, sales and internal research groups to construct innovative custom baskets and thematic ideas, to take advantage of market scenario through derivatives and delta one products.
• Quantitative modeling of Systematic trading strategies like Call Overwriting, Risk Reversals, Cross Spreads, Call Spreads, dispersion etc. Modeling involves historical back testing, stress testing, scenario analysis and provisions for downside risk management. Platform used is Microsoft Excel VBA and Bloomberg.
• Researching and generating:
o Return enhancing alpha strategies like Equal Risk Contribution, fundamental strategies like dividend yield strategies, sector screening strategies etc.
o Hedging Strategies to minimize downside risk given a portfolio’s exposure and systematic delta hedged strategies.
o Custom baskets to take advantage of macro scenarios, index rebalancing, seasonality, trends etc.
o Taking exposure to particular asset classes or strategies through listed ETF’s and other arbitrage scenarios.
o Event based strategies like delisting/listing in an index, earnings announcements etc.
o Relative value sector screening and long short sector neutral strategies.
• Developing excel based analytics tools for the desk enabling quantitative screening and back testing a universe on the strategies handled by the desk.
• Providing multi asset (Single Stocks Equity, Indices, Credit Indices, FX, ETFs and Commodities) trading analytics and commentary of major derivative trends, global macros, technical arbitrage scenarios and relative value opportunities.
• Publishing daily multi asset, cross regional analytics reports on volatility, spreads and correlations. Other publications include ‘India Derivatives Daily’, which provides market insight with recommendation and analysis on listed futures and options in India.