Trade memo · Rates
December FOMC trade memo
Bets against a 90% consensus that the Fed hikes in December.
Paper trade · October 2026
- Thesis
- The market prices about a 10% chance the Fed holds on 9 December. I put it nearer 30%.
- Method
- A 95.875 / 96.00 bull call spread on December SOFR futures options, sized so the most I can lose is $750.
- Tech
- Scenario pricing and expected value, built from market-implied odds and live futures prices.
- Result
- Paper trade open. The post-mortem goes up after the 9 December decision.
Pricing model · Commodities
Pricing coffee derivatives
Prices one coffee option three ways, then designs a structured note around it.
Citi Markets Quant job simulation (Forage) · July 2026
- Thesis
- A six-month coffee call needs a fair price, and the desk needs to know its risk after selling it.
- Method
- Cost of carry, then Black-76, then a 500,000-path Monte Carlo; a coffee-linked note; a desk risk review.
- Tech
- Python: NumPy, SciPy and pandas.
- Result
- Black-76 and Monte Carlo agree to within 0.02%. The note is solved at 40.9% participation.
Backtest · FX
Liquidity-sweep backtest
Tests whether false breakouts of recent highs and lows reverse often enough to trade.
EURUSD daily data, 2021–2024
- Thesis
- Do false breakouts of recent highs and lows reverse often enough to trade?
- Method
- A 96-combination grid search, tuned on two years of data and then tested blind on a third.
- Tech
- Python and pandas, ATR-based position sizing, and a Sharpe decay test for overfitting.
- Result
- Weak on daily data. The write-up explains why and sets out a better test.