Virtu is a leading financial firm that leverages cutting edge technology to deliver liquidity to the global markets and innovative, transparent trading solutions to our clients. As a market maker, Virtu provides deep liquidity that helps to create more efficient markets around the world. Our market structure expertise, broad diversification, and execution technology enables us to provide competitive bids and offers in over 19,000 securities, at over 235 venues, in 36 countries worldwide 

The firm’s complementary core offerings—market making, client execution services, and trading venues—give Virtu a competitive advantage in developing and applying innovative tools that deliver efficiencies and performance across the organization. We continuously develop and employ innovative technology, trading strategies and risk management systems that drive superior and highly scalable trading platforms and are looking for an experienced Quantitative Strategist to help us propel our technology forward in the options trading space. 

As a Quantitative Strategist on the options desk, you will play a leading role in the design, architecture and implementation of the next iteration of our automated options trading system. The ideal candidate will have deep experience in developing, modeling and pricing of "vanilla" options. In this role, you will be working among a small team of experienced options quants, traders and seasoned software engineers, in an environment that is both fast paced and collaborative.   

• Lead various options quantitative efforts at Virtu, including volatility pricing, and cross product risk management
• Work closely with the traders to develop and enhance the existing processes and systems
• Apply your observation skills and modern statistical methods to identify and build predictive models
• Research and implement new volatility trading strategies and volatility signals
• Analyze existing strategies to identify potential improvements
• Develop risk models and frameworks to manage cross product portfolio risks in volatility space

THE CANDIDATE

• Minimum 3-5 years of experience in practical options pricing at an OAMM (Options Automated Market Maker) 
• Advanced degree (preferably PhD) in Science, Math, Engineering or other quantitative field
• A solid understanding of risk management and valuation models
• Practical experience in issues such as: implied and realized volatility modeling, volatility risk management and calibration, vol trading signals, event modeling and risk, order placement logic, PnL analysis, microstructure effects.
• Strong programming skills in C++ and Python 
• Experience in automated market making 
• Exceptional quantitative, mathematical, and problem-solving skills
• Great communication skills and the ability to collaborate with peers