Citigroup Energy Inc. seeks a Vice President, East Power Option Trader for its Houston, Texas location.

Duties: Perform simulation and analysis for long term eastern US power markets (5years out); produce historical profit and loss performance and stress scenarios. Statistical and Financial Modeling and analysis using Python & R, and historical analysis to optimize desk portfolio. Conduct key parameter estimation (volatility and correlation) for structured option transactions. Market make and price electricity products (financial swaps, physical power, power swaptions) for clients in eastern US power markets; capture positive margin in the course of market-making. Provide power fundamentals and analytics for eastern US power and gas market, including development of trade ideas, research and modeling. Develop and maintain intraday pricing tools and manage risks for power option desk, improve risk monitoring and sensitivity testing using Excel and Access VBA. Monitor variables that influence pricing (e.g. weather, electricity flows, fuel prices, transmission, and generation maintenance). Develop and implement fundamental and statistical software models to forecast power prices, transmission congestion and electric demand. Develop and maintain natural gas and power trading tools to analyze current market price/spreads/volatility in relation to historical data. Develop volatility term structure models. Provide pricing and develop hedging strategy for structured products ranging from Heat Rate Options, Revenue Put Options and Asian Options. Create Profit and Loss attribution analysis to evaluate daily trading performance, build Delta and Greeks risk management platform for accurate risk reporting and hedging. Use Volatility estimation, calibration models and other quantitative models to assist in power options and structured products. Build statistical models to analyze volatility and correlations for the options desk. Use SQL Server and Oracle Database Management.

Qualifications

Requirements: Requires a Bacheloregree in Finance or related field and 2 years of experience as an Electricity Options Analyst or related position involving Option Pricing, hedging, and market making for clients in electricity options. 2 years of experience must include: Statistical and Financial Modeling and Analysis using Python & R; Microsoft Excel/Access Visual Basic Application Modeling for Pricing tool development, report construction, building risk management platform, and task automation; SQL Server and Oracle Database Management; Electricity market analysis; Profit and Loss Analysis, Stress scenario case analysis. Qualified applicants submit resumes referencing job code KC/EPOT/XL to Citigroup Recruiting Dept., 3800 Citigroup Center Drive, Tampa, FL 33610. Citigroup is an EOE Employer. This position is eligible for incentives pursuant to Citigroupmployee Referral Program. Direct applicants only.