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About the Role

As a quantitative researcher within the GCEM Strats team, you will focus on Systematic Option Strategies and partner with the trading desk to research, test and implement systematic solutions to Market-Making, signal generation and enhanced risk management across global macro markets. Your research will directly influence how the desk conceptualizes, prices and hedges option risk.

Responsibilities

Drive and contribute to applied research for Systematic Option Strategies, translating market intuition and observations into robust, scalable systematic risk management and market making strategies.
Originate and test systematic option market making approaches, incorporating a diverse array of techniques and signals.
Develop forecasting models for volatility markets, capturing skew, smile, term structure, carry effects, cross-asset relationships and market regimes.
Design and implement systematic hedging strategies for vega and related risks subject to real market constraints, balancing expected P&L, transaction costs, liquidity, basis and tail risks.
Own the end-to-end research process: idea generation, data processing, hypothesis design, feature engineering, backtesting/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 production performance of successfully deployed research and refine models as markets evolve.
Partner with Traders to gain insights into and leverage institutional knowledge of market structure and function that can inform 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.

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; cross-asset experience is valued.
Excellent foundation in statistics, probability, time-series analysis, econometrics, machine learning, optimization and experimental design.
Strong programming skills and experience working with large market datasets, research pipelines and backtesting frameworks; proficiency in Python, Java, or similar languages is beneficial.
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 the ability to work effectively in a fast-paced collaborative environment.

Skills

Systematic Option Strategies
Market-Making
Signal Generation
Risk Management
Quantitative Research
Volatility Modeling
Hedging Strategies
Data Analysis
Model Development
Validation
Strategy Implementation
Forecasting
Prediction Models
Transaction Costs
Liquidity
Tail Risk
Capacity
Robustness
FX Options
Volatility
Python
Java

Location

Global

Work Type

Full-time

Experience Level

4-8 years

Education Level

MS or PhD

About the Company

Operating at the center of global financial markets, Global Banking & Markets serves institutional clients including asset managers, hedge funds, banks and brokerages, pensions, endowments and foundations, corporations and governments.
The FICC and Equities Quantitative Strategists team works at the center of Goldman Sachs' global markets business.
We work hand in hand with Traders to turn quantitative research into solutions directly deployed in our trading franchise, running in live markets.
The Goldman Sachs Group, Inc. is leading global investment banking, securities and investment management firm that provides a wide range of financial services to a substantial and diversified client base that includes corporations, financial institutions, governments and individuals.
Founded in 1869, the firm is headquartered in New York and maintains offices.