Quant Developer for Hybrid /ES (E-Mini) Futures Options Strategy
• *Job Overview** I am an experienced futures options trader seeking an expert Quantitative Developer to build the core decision-making engine for a semi-automated trading system. The strategy is a market-neutral, defined-risk hybrid derived from the "Time Flies" and "Flyagonal" concepts, specifically adapted for
S&P 500 E-Mini Futures (/ES) and their Options (FOPs)
. It seeks to capture Theta decay while hedging Vega risk by combining a
Put Diagonal Time Spread
(Vega Positive/Longer Duration) with a
Call Broken Wing Butterfly
(Vega Negative/Shorter Duration).
- *Deliverable:** Backend logic, data ingestion, and an optimization model delivered as a web application. On a password protected webpage, I will click a "Generate Strikes" button, and the app will run and make a suggestion on which Strikes and Expirations would produce the optimal trade.
###
The Strategy Logic
Your goal is to codify a rule-based system that scans the /ES option chain to construct a combined position consisting of: 1.
Downside Engine (Put Diagonal):
Selling near-term puts and buying longer-term puts (creating a "Time Spread" or "Diagonal") to benefit from volatility spikes on market drops. 2.
Upside Engine (Call Broken Wing Butterfly):
A standard BWB placed above the market to benefit from volatility contraction on market rallies.
- *Objective:** The tool must ingest live data, generate thousands of process strike/expiry combinations for /ES FOPs, and rank their combinations based on a proprietary "Trade Score." The ideal Trade Score will be based on the best Expirations dates and Strikes that produce a safety zone that is within 2x of the Expected Move for the Front Month position, and balanced such that the center of the Shorts have the least amount of loss (if any) if the underlying ends up between the 2 Shorts.
####
1. Architecture & Data Feed
•
API Selection:
Recommend and integrate a cost-effective, reliable API capable of handling Futures Options data (e.g., ThinkOrSwim, Interactive Brokers, DataBento, or similar).
- *Requirement:* Must provide real-time or near real-time (snapshot) data for Option Greeks (IV, Delta, Gamma, Theta, Vega) and Bid/Ask spreads for /ES.
- *Optimization:* Data fetching should be limited to strikes within ~2x the Expected Move (EM) to minimize API load/latency.
Tech Stack:
Python (Pandas/NumPy/SciPy) is preferred for vectorization and speed. ####
2. The "Entry Engine" (Scanner)
Create a class/function that iterates through valid structures for the combined trade:
Inputs:
Front-month expiry (DTE ~7-10 days), Back-month expiry (for the Diagonal leg), and strike width parameters.
Scoring Logic:
Calculate a "Trade Score" for every valid combination:
Metric A (80% Weight):
Probability of Profit (POP) — *Developer must define how POP is approximated (e.g., using Delta or Monte Carlo simulation).* •
Metric B (20% Weight):
Risk/Reward Ratio (specifically minimizing the Net Debit/Max Loss).
Output:
Return the Top 3 configurations ranked by Trade Score. ###
Required Skills & Qualifications
•
Futures & Options Knowledge:
You must be familiar with /ES contract specifications, multipliers ($50 per point), and the unique nuances of Futures Options (FOPs) vs Equity Options.
Options Theory:
You must deeply understand the "Term Structure of Volatility." You need to know why we buy the back-month put (Vega hedge) and how Skew affects BWB pricing.
Quantitative Development:
Experience building back-testers, scanners, or pricing models in Python. (Start your proposal with the code
"TFFA-ES"
so I know you read the full brief.)
API Integration:
Proven experience handling JSON/REST/Websocket data from financial APIs. The above project is based on a combination of these 2 similar strategies. Make sure you understand them, because the project effectively involves recommending positions for these types of trades: Time Flies Trade: http://www.youtube.com/watch?v=nzx4yWbzs-I Flyagonal Trade: http://www.youtube.com/watch?v=y_7vCLAcc9c A Zoom interview with your camera turned on will be required. You must have a verified identity on Upwork. Apply tot his job Apply To this Job