Quantitative Architect (Options & Futures)

As a Quantitative Systems Architect specializing in Options and Futures market structure, your primary role will be to design the core logic for derivatives exchange engines. This includes order management, trade lifecycle events, pricing models, volatility surfaces, and risk controls. You will ensure that all quantitative models are mathematically robust and technically feasible for implementation. Key Responsibilities: - Design and formalize core logic for Options and Futures engines, covering order management, order matching, and trade lifecycle events. - Define pricing models, volatility surfaces, and Greeks calculations for derivatives instruments. - Build and maintain margin and collateral logic, encompassing isolated and cross-margin systems, portfolio margin, and risk offsets. - Develop and document PnL computation, exposure tracking, and real-time risk management logic. - Architect mark price, index price, and liquidation logic in alignment with institutional-grade exchange standards. - Collaborate with backend teams to translate quantitative models into deterministic, scalable, and auditable system components. - Analyze order book microstructure and define logic for matching priority, tick size, and price-time sequencing. - Validate stress testing, backtesting, and risk simulation frameworks for reliability under extreme market conditions. - Define and review risk engine parameters, including leverage tiers, maintenance margin ratios, and liquidation thresholds. - Contribute to detailed functional specifications and documentation for audits, compliance, and developer reference. Required Skills & Experience: - Strong understanding of Options and Futures markets, pricing theory, margin models, and risk frameworks. - Proven experience in exchange or brokerage systems, particularly in building or validating matching, margin, or risk engines. - Deep knowledge of derivatives PnL, Greeks, implied volatility modeling, and exposure management. - Experience defining exchange system logic, including order types, matching priority, and clearing workflows. - Excellent ability to translate mathematical models into production-ready logic understandable by engineering teams. Desirable Experience: - Exposure to crypto derivatives exchanges or traditional futures markets (Binance, Deribit, CME, etc.). - Understanding of perpetual swap funding, liquidation queues, and auto-deleveraging systems (ADL). - Experience in portfolio margining, VaR models, and real-time risk monitoring.,