5+ years of experience in equity derivatives trading, risk management, or valuations
Advanced degree in a quantitative field preferred
In-depth knowledge of equity derivative products, especially volatility products
Strong understanding of P&L explanation and attribution
Proven ability to evaluate and test complex pricing methodologies
Programming skills in Python or VBA for data analysis
Familiarity with Bloomberg, Reuters, and other market data sources
Experience collaborating with technology and quant teams
Responsibilities
Oversee and enhance internal systems for equity derivative pricing and valuations
Maintain and sign off on official end-of-day pricing marks and curves
Analyze daily P&L, identifying key performance drivers and resolving discrepancies
Evaluate and test pricing methodologies from quant or vendor teams
Coordinate onboarding of new equity derivative products across departments
Act as a senior contact for portfolio managers on pricing and valuation issues
Benefits
Comprehensive benefits package
Discretionary performance bonus
Total compensation includes base salary and performance incentives
Full Job Description
Portfolio Pricing and Valuations Analyst
We are seeking a skilled and detail-oriented professional to join our team as a Portfolio Pricing and Valuations Analyst. The successful candidate will play a critical role in maintaining and enhancing the firm's pricing and valuation infrastructure for equity derivative products, with a focus on volatility, vanilla, and exotic products. The candidate will be a key contributor in the review and validation of pricing models and methodologies, the analysis and explanation of P&L, and the onboarding of new and complex products.
Principal Responsibilities
Valuations - Oversee and enhance the configuration of internal systems and calibration of pricing models for equity derivative products. Source, validate, and analyze market data, including external volatility surfaces and curves, to ensure accuracy and integrity of marks.
Pricing & Mark Sign-Off - Maintain intraday and end-of-day pricing procedures and controls. Responsible for publishing and signing off on the firm's official end-of-day marks, surfaces, and curves across equity volatility and exotic products.
P&L Explanation & Attribution - Analyze and explain daily P&L, decomposing performance into its key drivers: Greeks-based attribution, idiosyncratic events, and trading activity. Identify, investigate, and resolve breaks in collaboration with trading, risk, and finance. Prepare attribution reports for senior management and run ad-hoc analysis when required.
Methodology Review & Testing - Evaluate and test pricing and marking methodologies proposed by quant or vendor teams. Provide practitioner-level feedback on model assumptions, calibration approaches, and operational applicability.
New Product Onboarding - Oversee the setup and integration of new equity derivative products into the firm's infrastructure, coordinating across technology, quant, risk, and portfolio management.
Primary Interface - Act as a senior point of contact for portfolio managers on pricing, valuation, risk, and product setup matters. Coordinate across departments to resolve issues efficiently.
Qualifications/Skills
5+ years of professional experience in a relevant role such as equity derivatives trading, trader assistant, risk management, product control, or valuations
Advanced degree in a quantitative discipline preferred
Deep knowledge of Equity Derivative products including vanilla options, variance/volatility swaps, TRF/TRS, dividend swaps, and exotic products - with particular emphasis on volatility products
Strong familiarity with P&L explanation and attribution in an equity derivatives context
Demonstrated ability to understand, evaluate, and test complex pricing methodologies
Programming experience (Python, VBA, etc) needed with a focus on data analysis.
Proficiency with Bloomberg and Reuters and other market data sources
Experience engaging and collaborating with technology and quant teams to drive system enhancements
Highly detail-oriented with strong ownership, sound judgment, and the ability to prioritize in a high-pressure environment
Millennium pays a total compensation package which includes a base salary, discretionary performance bonus, and a comprehensive benefits package. The estimated base salary range for this position is $160,000 to $250,000, which is specific to New York and may change in the future. When finalizing an offer, we take into consideration an individual's experience level and the qualifications they bring to the role to formulate a competitive total compensation package.
