Nov 2011 – May 2023 · 11 yrs 6 mos · New York, New York

• Lead author of the Weekly Options Watch, one of the longest running derivatives publications on the street, with a successful track record of single stock options recommendations dating back to 2005.
• Key focus is stock picking: identifying fundamental drivers of stocks ahead of significant events and catalysts, where option prices are attractive.
• Identified key themes in the options market, including running extensive analysis to highlight the impact of rising single stock options volumes, with special focus on individual investor trading activity.
• Focused on identifying key macro and micro themes on a weekly basis, including
• o Cross-Asset: opportunities driven by equity and credit dislocations
• o Positioning by sectors: energy equities dislocation vs commodities, healthcare opportunities around political and drug catalysts, retail options around holiday shopping season, etc.
• Systematic options selling strategies: Published a detailed report analysing single stock overwriting strategies over the past two decades.
• o The study was focused on liquid S&P500 stocks, and identified multiple strategies based on moneyness, delta, yield and stock free cash flow yield.
• o Special focus on slicing distribution of returns based on sectors, market cap, stock volatility and momentum.
• o The key analysis was differentiating overwriting returns in earnings months.
• o The report was pitched to many large overwriting funds across the US and Europe with excellent feedback.
• Statistical techniques: Use of multinomial logistic regression to identify options overlay strategies.
• o GS-EQMOVE: Estimating the probability of +/-5% move in the S&P500 index over the subsequent month, based on economic and fundamental variables.
• o Predicting Earnings Day Direction: Estimating the probability of stock moving up on earnings, based on fundamental and positioning indicators.
• Programming & Statistical software: C++, SAS, E-views, Python.

Feb 2010 – Oct 2011 · 1 yr 8 mos · Gurgaon, India

• Index model validation using backtesting
• Backtesting hedging strategies
• Client database management
• Publishing Equity derivatives products
• Special & Relative Value Situations