Charlie Yan
Quantitative research on options — 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.
In Los Angeles, looking for a quantitative research or index options seat. Email is the fastest way to reach me.
Papers
Each pairs with a public repo holding the code and a data-availability statement that says plainly whether you can run it.
- 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.
Background
-
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.
-
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.
- UCLA Anderson School of Management — Master of Financial Engineering, Dec 2024
- 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
How I work
Pre-register the bar before running. Report three accounting lines — mid, friction-aware, and full cross — and decide on the last one. Print the coverage line with every result. Treat a Sharpe above 3 as an audit trigger rather than a discovery.
Software
- options-surface-mcp
Arbitrage-free SVI volatility surfaces, Greeks and static no-arbitrage checks, exposed as MCP tools with a derived-golden eval harness.
- chainmill
Parallel ingest of zipped option-chain archives into a queryable SQLite store, with resumable builds and per-archive failure isolation.
- runseal
Content-addressed provenance for research runs — prove which data, code, config and environment produced a number, and that none of it changed since.
- exitkit
Twenty-seven position-exit policies behind one interface, with a drop-in adapter for backtesting.py.
- opentape
Twelve backtest bug classes, twelve runtime invariants, thirteen synthetic reproductions — the checks from "Dollar-Correct, Time-Wrong" as a library.
- aesthetic-eval
A CLI that scores websites across 10 UI/UX dimensions against research-backed thresholds, with SARIF output and baseline diffing.