• Job Description

  Req#: 00280139

  Director, FX Options Trader

  New York, New York

  Barclays Capital Inc.

  What will you be doing?

  • On behalf of a global financial services institution, advise on securities, utilizing comprehensive knowledge of economics, FX options, derivatives, and macro markets to buy and sell securities for the company's FX options trading desk.
  • Specifically manage the portfolio’s volatility exposure, currency exposure, change in delta from a change in spot level, and interest rate exposure.
  • Run and price the implied correlation risks arising from the decomposition of crosses different than USD based, such as BRLJPY and EURMXN.
  • Issue price and oversee the risk arising from vanilla options and exotic options, which includes binary options, One Touch options, Double No Touches, and Reverse Knock Out options.
  • Manage the daily fixing risks arising from non-delivery options expiring the same day, which include USDBRL, USDCLP and USDCOP and any cross that includes those pairs.
  • Provide prices and facilitate liquidity for clients who require pricing in currency options for Latin American currencies in order to determine the best cost and most effective way of hedging these options once the client trades.
  • Appraise clients on firm views and market events that could impact the currencies and implied volatilities of such currencies.
  • Study and analyze the pricing dynamics of assets such as currencies, volatility and interest rates among others, utilizing Python as programming language, developing sophisticated statistical models, ranging from basic linear regressions to machine learning algorithms.
  • Develop models for the whole options group to analyze volatility across all currencies in order to find and identify hedges and improve pricing for clients.
  • Maintain ownership of the front to back franchise of Latam FX Options, including client engagement, pricing, and risk management.

  What we’re looking for:

  Minimum of Bachelor’s degree, or foreign equivalent, in Economics, Finance or related field and at least five (5) years of post-baccalaureate progressively responsible experience in an Information Technology related occupation within the financial services industry.

  Must have at least five (5) years of progressively responsible employment experience with each of the following required skills:

  • Knowledge of Macroeconomics, growth, inflation and exchange rate dynamics in a context of a general equilibrium model;
  • Experience providing estimates of the Real Exchange Rate of equilibrium using various models and adjusting macroeconomics variables to find model equilibrium;
  • Advanced knowledge in time series econometrics, Stationarity, Cointegration and Seasonality techniques to identify trends and manipulate the series to then estimate, produce valid and consistent models;
  • Knowledge of Iliquidity in Latin America Emerging Markets and versed in local market conventions, nuances and market vulnerabilities;
  • Knowledge of realized and implied correlations markets within FX pairs and across asset markets to identify and take risks in FX-FX correlation, FX-interest rate correlation and Interest rate-interest rate correlations;
  • Management of digital pins, OT, and exotics and use of Local-Stochastic, Vanna-Volga and Local volatility models in order to price and Risk manage exotics; and
  • Knowledge of the operation and interpretation of complex derivative pricing formulas used to manage implied delta and vega risks.

  Where will you be working?

  You will be working at our New York, New York location at 745 Seventh Avenue. This 37-story office tower is located in Times Square in the heart of Manhattan and features a cafeteria, fitness center and state-of-the-art LED signage on the façade of the building. The building is easily accessible to Restaurants, Shops and Public Transportation.

  Interested and want to know more about Barclays? Visit home.barclays/who-we-are/ for more details.

  Our Values

  Everything we do is shaped by the five values of Respect, Integrity, Service, Excellence and Stewardship. Our values inform the foundations of our relationships with customers and clients, but they also shape how we measure and reward the performance of our colleagues. Simply put, success is not just about what you achieve, but about how you achieve it.

  Our Diversity

  We aim to foster a culture where individuals of all backgrounds feel confident in bringing their whole selves to work, feel included and their talents are nurtured, empowering them to contribute fully to our vision and goals.

  It is the policy of Barclays to ensure equal employment opportunity without discrimination or harassment on the basis of race, color, creed, religion, national origin, alienage or citizenship status, age, sex, sexual orientation, gender identity or expression, marital or domestic/civil partnership status, disability, veteran status, genetic information, or any other basis protected by law.

  Dynamic working gives everyone at Barclays the opportunity to integrate professional and personal lives, if you have a need for flexibility then please discuss this with the hiring manager.

  Our Benefits

  Our customers are unique. The same goes for our colleagues. That's why at Barclays we offer a range of benefits, allowing every colleague to choose the best options for their personal circumstances. These include a competitive salary and pension, health care and all the tools, technology and support to help you become the very best you can be. We are proud of our dynamic working options for colleagues. If you have a need for flexibility then please discuss this with us.

  Salary/Rate Minimum/yr: $290,000

  Salary/Rate Maximum/yr: $290,000

  The minimum and maximum salary/rate information above include only base salary or base hourly rate. It does not include any other type of compensation or benefits that may be available.

  This position is eligible for incentives pursuant to Barclays Employee Referral Program.

• About the company

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