Equity Exotics Trader, Vice President

The Equity Exotics Trader is responsible for actively managing and risk-managing a proprietary and client-facilitation trading book comprising complex equity exotic derivatives and structured products. The primary objective is to generate sustainable, risk-adjusted trading revenue, maintain rigorous risk controls across complex non-linear Greeks, and partner closely with Structuring, Quantitative Analysis, and Institutional/Wealth Sales to expand Citi’s global equity exotics franchise.

Key Responsibilities:

1. Book Management & Trading Execution

• Risk Management & Hedging: Manage and dynamically hedge higher-order and non-linear risk exposures across structured and exotic equity derivatives books (including Autocallables, Reverse Convertibles, Clicquets, Accumulators/Decumulators, Barrier Options, Volatility/Variance Swaps, Quanto structures, and other Light Exotics.
• Greeks & Parameter Management: Actively monitor and manage complex market parameters, including:
  • First- and second-order Greeks (Delta, Gamma, Vega, Volga/Vomma, Vanna, Charm, Speed, Color).
  • Volatility surfaces, skew/smile dynamics, forward volatility, and term structure.
  • Correlation risk, cross-gamma, dividend risk, repo/borrow curves, and interest rate sensitivities.
• Pricing & Market Making: Provide competitive, rapid, and accurate pricing for bespoke structured payoffs and flow exotics to Sales, Structuring, Private Banking, and Institutional clients.
• Revenue Generation: Deliver on budgeted net trading revenue targets in the context of established value-at-risk (VaR), Stress VaR, Comprehensive Capital Analysis and Review (CCAR), and desk-level sensitivity limits.

2. Quantitative Analytics & Platform Evolution

• Model Collaboration & Calibration: Partner with Quantitative Research / Financial Engineering (Strats) to refine, backtest, and calibrate pricing engines, Local Volatility (LV), and Stochastic Local Volatility (SLV) models.
• Analytics & Automation: Develop tactical algorithmic/Python pricing scripts, automated hedging tools, and scenario stress-testing suites to enhance desk efficiency and real-time P&L attribution.
• Infrastructure Optimization: Collaborate with Technology to improve trade booking workflows, risk aggregation systems, and straight-through processing (STP).

3. Governance, Controls & Risk Management

• Regulatory & Policy Compliance: Adhere strictly to all internal policies, Volcker Rule requirements, Market Abuse Regulations (MAR), FRTB guidelines, Booking Policy, and mandatory trading protocols.
• Control Function Engagement: Interface proactively with Market Risk Management, Model Risk Management (MRM), Credit Risk, Product Control, Legal, and Compliance to ensure proper validation, booking, and governance for all exotic payoffs.
• Culture & Conduct: Foster a culture of responsible finance, robust supervisory controls, operational discipline, and transparency; actively escalate potential control deficiencies, model breaks, or reputational risks. Taking accountability to analyze and own trade outcomes to ensure best practice for franchise and client development.

4. Franchise & Client Development

• Sales & Structuring Partnership: Work collaboratively with Equity Structuring and Institutional/Private Wealth Sales teams to identify market trends, anticipate client payoff preferences, and deliver innovative structured investment and hedging solutions.
• Counterparty & Market Interaction: Maintain strong inter-dealer broker and exchange relationships to source correlation, dividend, and bespoke option liquidity efficiently.
• Market Commentary: Provide actionable market intelligence, skew/volatility insights, and trade ideas to internal stakeholders and key client accounts.

Qualifications & Competencies:

1. Experience & Industry Knowledge:

• Experience: Professional trading experience within Equity Derivatives (4–7 years for VP level consideration, 3-4 years for AVP level consideration) or 8-10 years of experience in another applicable field for VP or AVP level consideration.
• Experience running an Equity Exotics or Structured Products trading book with strong risk management.
• Product Expertise: Deep technical mastery of non-linear payoff structures (Autocallables, Cliquets, Barriers, Dispersion, Quartiles, Range Accruals, Volatility/Variance derivatives, Quanto payoffs) across single-stock, basket, and index underlyings.
• Risk Acumen: In-depth knowledge of exotic risk management techniques, pinning risks, jump/gap risk dynamics, and multi-asset hybrid correlation behavior.

2. Technical & Quantitative Skills:

• Exceptional mathematical, probabilistic, and quantitative aptitude (stochastic calculus, numerical methods, Monte Carlo simulations, PDE solvers).
• Advanced programming and data analysis proficiency in Python (and/or C++, R, SQL, VBA).
• Proficient in market data systems and analytics platforms (Bloomberg OVME/DLIB/VOLS, Reuters, and proprietary equity risk engines).

3. Professional Skills & Licensing:

• Strong communication and interpersonal skills, with the ability to clearly articulate complex quantitative risk profiles to both internal control partners and client-facing teams.
• High level of composure, commercial acumen, and decision-making agility through a risk management lens in high-volatility, fast-paced trading environments.
• Licensing: Relevant regulatory registrations and trading licenses as required by jurisdiction (e.g., Series 7, 63, 57 in the US).

Education:

• Bachelor’s Degree: Degree in a quantitative discipline (Financial Engineering, Mathematics, Physics, Computer Science, Econometrics, Quantitative Finance, or Engineering).
• Advanced Degree: Master’s or Ph.D. in Quantitative Finance, Financial Mathematics, Computational Engineering, or an MBA preferred.

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In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.

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We use automated processing, including artificial intelligence, for our legitimate business interests (or our reasonable and appropriate business purposes) to identify and align the candidate's skills and abilities with a specific job opening. Additionally, if you so choose, or consent, we can match your skills and abilities to other suitable roles at Citi.

Importantly, all our hiring processes and decisions, including determining your suitability for a role, are conducted, checked, and decided by individuals. Our automated processing and AI do not involve relying on automatic or autonomous decision-making. Please refer to any Jurisdictional Considerations, with specific provisions for your country (where relevant) for further details.

Illinois residents – AI Notice and Right

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