Charlie Yan
Quantitative research on options — volatility surface dynamics, execution cost, and the accounting that decides whether an edge survives contact with a spread.
Most of what I publish is the negative result and the machinery that produced it, because in this work a wrong number that reconciles is more expensive than one that crashes.
Day to day I trade a live index options book — variance and skew premium through defined-risk structures, with a real-time arbitrage-free surface calibration underneath it.
Currently in Los Angeles, looking for a quantitative research or trading seat. Email is the fastest way to reach me; if a call is easier, book one.
Background
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Quantitative Index Options Trader, Foghnan Trading
- Systematic capture of SPY variance and skew premium through defined-risk put spreads, with a walk-forward execution framework and a transaction-cost model for non-linear slippage across calendar rollovers.
- Real-time, arbitrage-free volatility surface calibration that separates left-tail crash risk from normal diffusive vol, driving regime-shifting parameters that protect short-volatility structures under stress.
- Cross-venue execution pipeline for event-driven mispricings across index contracts: multi-leg orders behind strict risk gates, plus capacity and decay analysis rigorous enough to disprove an apparent alpha hypothesis on transaction-cost grounds.
- Statistical risk audits and post-trade review on new signals. Rejected a false smile-residual signal, and showed that mark-to-market accounting structurally understated real drawdown risk.
- Fail-closed, multi-provider data pipeline with concurrency budgets, feeding an options analytics layer that tracks implied vol term structure, skew proxies and dealer gamma exposure.
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Quantitative Research Intern, JFA Research
- Prototyped a liquidity-aware volatility surface framework that preserves price-relevant structural kinks where order-book supply and demand justify them.
- Validated across major index options and small-cap names, cutting pricing artifacts outside the NBBO on illiquid tickers while holding exact baseline fits. Shipped interactive diagnostics for out-of-sample decay analysis.
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Research Intern, Rebellion Research
- Read FOMC statements as text to anticipate policy shifts, set against inflation, labour and slowdown data.
- Studied treasury-bond volatility around presidential elections and fiscal-policy shifts, and regional US housing dynamics against interest-rate moves.
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Quantitative Research Intern, GF Securities
- Event-driven strategies in the A-share market: built and tuned evaluation frameworks using convolutional neural networks, aligning model output with market events.
- UCLA Anderson School of Management — Master of Financial Engineering, Dec 2024 Graduation Student Speaker ↗
- Washington University in St. Louis — B.A. Computer Science & Political Science, cum laude with thesis, Aug 2022
Python · C++ · SQL · volatility surface calibration · IV term structure & skew · dealer gamma · walk-forward design · capacity & decay analysis · FIX connectivity · low-latency execution · LangGraph · MCP / FastMCP
Research
Each pairs with a public repo holding the code and a data-availability statement that says plainly whether you can run it.
- The Market Already Knew: A Pre-Registered Falsification of TimesFM-3 on the SPY Implied-Volatility Surface
A time-series foundation model does not improve on the market's own implied-volatility surface. Registered on the model's release day, before any arm ran.
- Microprice Drift and the Theta Wall: Why Order-Book Depth Cannot Time Option Execution
Posted option depth carries real short-horizon information and still cannot be monetised — the toll is flat in horizon while the move grows with √t.
- Margin Is Not a Footnote: Reg-T Feasibility as a First-Class Backtest Output
Collateral is a stochastic process separate from P&L, and can end a strategy independently of its returns.
- A Formal Theory of the Delta-Matched Risk Reversal
The structure is near-pure differential vega. Vanna is the tax on the harvest, not its source — refuting the standard vanna-centric account.
- How Much Tail Prediction Could We Have Detected? A Power Accounting for a 1,450-Test Search
A null from a large signal search is uninterpretable unless the searcher reports what the search could have detected.
- Persistence, Premium, and the Illusion of Residual Reversion in SPY Options
SVI smile residuals converge less than a scale-matched null. The tape's P&L was variance risk premium, not signal.
- Dollar-Correct, Time-Wrong: Twelve Backtest Bugs That Survive Reconciliation
A backtest whose P&L reconciles to the cent can still be wrong by 2–12× in risk-adjusted terms.
- The Expiry Corner as a Logarithmic Clock
A boundary-level error law for Carr randomization of the American put, with every numerical claim re-derivable from the published verifier stack.
Software
- lobcore
A bounded-array L3 limit order book in Rust with ITCH 5.0 replay, a BTreeMap reference book for differential testing, and PyO3 bindings that hand back numpy arrays with the GIL released.
- quotesim
An options quoting simulator with synthetic flow — Avellaneda-Stoikov and GLFT quoters in price and vol space, delta-band hedging, an exact P&L attribution, and comparisons paired by seed only.
- volsurf
Implied-volatility surfaces from option chains — parity forwards, a vectorised Black inverter, raw-SVI fits per expiry, static-arbitrage checks that are counted and located, never repaired — and the surface exposed as MCP tools with a derived-golden eval harness.
- riskkit
Portfolio risk for a futures-and-options book — VaR and ES by four methods, backtests with computed size and power, stress and reverse stress, and explicit limit-down, empty-book and stale-quote semantics.
- pricers
Option pricing methods written out in numpy and validated against closed forms and QuantLib with explicit tolerances — Black-Scholes, trees, finite differences with PSOR and Brennan-Schwartz, Monte Carlo, Longstaff-Schwartz, Heston COS.
- tcakit
Transaction cost analysis and market-impact calibration for equities and listed options — implementation shortfall, difficulty-adjusted scorecards, and impact fits that report held-out error.
Projects
- claimkeeper
A ledger for the falsifiable claims a research note makes — resolvers that score each claim from data once its date arrives, a Brier scoreboard, and a bot that reports the verdicts.
- Causal Market Lab
A leakage-resistant PyTorch study of self-supervised pretraining for cross-asset time series — the full research loop from audited quote pipeline to after-cost evaluation, reported as a negative result with the locked holdout still sealed.
- edge-or-memory
A sealed, point-in-time harness for the study "Do LLM research agents find edge or remember it?" — the apparatus, published before any result exists.
- deskboard
Real-time options risk and P&L dashboard with deterministic replay — per-leg Greeks, attribution with an exact identity, a limit engine that says why it fired, and a Telegram bot for the alerts.
- quant-research-agent
A research agent that reviews quant backtests, and the evals that measure whether it catches known bugs and refuses to overstate results. The eval numbers are the deliverable.