Quantitative derivatives advisory
Derivatives,
engineered with evidence.
We design options strategies the way an engineer designs a bridge: load-tested, stress-tested, and sized to what can go wrong before we count what can go right.
Invest with Insight, Grow with Strategy
- σ (annual)
- 20.0%
- Paths
- 0
- P(ST > 110)
- —
- 90% range
- —
Our approach
We don't forecast markets. We price, measure and size them.
∂V/∂t + ½σ²S² ∂²V/∂S² + rS ∂V/∂S − rV = 0
The Black–Scholes equation (1973) links an option's time decay, price sensitivity and volatility. It drives our Strategy Lab below.
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01
Evidence over narrative
Every trade starts from measurable inputs: implied against realised volatility, the event calendar, and the probability the pricing implies. A compelling story is not an edge.
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02
Risk defined before return
We start from the loss you can live with. We trade in a cash account with no margin, so the most any position can lose is the premium paid. Position size comes from that limit, not from conviction.
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03
Convexity by design
Options let you choose the shape of your outcomes. We structure payoffs that pay when it matters and cost little when it doesn't, and we show you the Greeks behind every choice.
The rules we trade by
- 100%
- Cash account.
No margin, ever. - ≤ 20%
- Maximum capital in
any single position. - Premium
- = maximum loss.
Risk known at entry. - Exit first
- Targets and event exits
set before entry.
Strategy Lab
See the shape of a trade before you place it.
Pick a structure and move the inputs. The solid line is profit and loss at expiry. The dashed line is today's value, priced with Black–Scholes. It's how we walk clients through a recommendation.
Spot = 100 · rate = 5% · one contract unit per leg
Volatility surface
Price is one number. Volatility is a landscape.
Implied volatility changes with strike and with time. Its skew, its smile and its term structure show where the market is paying up for protection, and where options are cheap. Reading that surface is the core of how we choose which contracts to buy or sell.
Advisory services
Four mandates. One discipline.
Every engagement follows the same rules: the worst case is known before entry, size comes from your risk budget, and the exit is agreed in advance.
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Express a view with the loss capped from day one. We pick the strike, the expiry and the size so that being wrong costs a known premium, while being right pays out convexly. Short-term momentum trades and longer trend trades are managed under separate rules.
- Strike and tenor chosen from implied volatility and the event calendar
- Capital cap per position and per sector
- Profit targets and time stops agreed before entry
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Earnings reports and macro events reprice options overnight. We compare the move the options market implies with how the stock has actually moved in the past, then decide whether to own the event, sell into the run-up, or stay out entirely.
- Implied move against historical realised move
- Volatility-crush and gap-risk scenarios
- A plan for exiting before the event
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Protection budgeted like insurance. We measure what your holdings lose in stress scenarios, then find the cheapest structure that caps that loss, with a clear running cost.
- Scenario and historical stress testing
- Hedge ratio and basis-risk analysis
- Structures that cost less to carry
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An independent quant view of the options book you already hold. We total up your Greeks, flag concentration and send regular plain-English reports on where you stand and what could hurt you next.
- Position-level and portfolio Δ, Γ, ν, Θ
- Drawdown, win-rate and holding-period analytics
- Periodic statement-based reporting and review calls
Engagement process
From first call to a live, monitored strategy.
Five steps, from understanding your goals to reviewing the strategy as markets change.
- 01
Discovery
Objectives, constraints, time horizon and a risk budget stated in hard numbers, not adjectives.
- 02
Diagnostics
A quantitative audit of current holdings: exposures, correlations, Greeks and stress-scenario losses.
- 03
Design
Candidate structures are researched and backtested, then compared side by side on cost, convexity and drawdown.
- 04
Deployment
Sizing, entry timing and execution guidance, with roll and exit rules agreed before the first trade.
- 05
Monitoring
Ongoing risk reporting, regular reviews and rule-based adjustments as volatility regimes change.
Start a conversation
Bring us a portfolio. We'll bring the numbers.
The first consultation is a structured review of your objectives and current exposures. You leave with a clear view of your risk, whether or not we work together.
A full performance review, sourced from brokerage statements, is available to prospective clients on request.