Prateek Jaiswal

IRageCapital (High-Frequency Trading)

06.2022 - Current

Research and trade an Options Market Making strategy focused on the Implied Volatility surface within the Indian Equity derivative market
Conducted analysis of strategy logs, leading to enhancements in order replacement, order priority logic, hedging strategies, and option pricing
Developed a dynamic spread model for options quoting, systematically analyzing market dynamics and order flows across various market regimes
Regularly monitored Implied Volatility skewness and Greek exposures to proactively manage risk exposures within the portfolio during trading
Successfully implemented and deployed a Stochastic Volatility Inspired (SVI) model to calculate Implied Volatility values for an entire option chain
Demonstrated a keen interest in analyzing Tick-by-Tick (TBT) data, meticulously identifying observations and patterns crucial to find signals
Formulating an alpha based on market microstructure: incorporating order book imbalances, order flow- types, and frequency analysis
Conducting an examination of the lead-lag relationship between order arrivals in options and changes in the future order book

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