Options RFQ Pricing Agent
Prices inbound options RFQs against the live vol surface within limits.
Catches the RFQ in chat or on the platform, reprices off the current surface, loads in the hedging cost and the desk's axe, and returns a two-way within the desk's service and risk limits. Standard tenors and sizes it quotes inside preset bands; anything wide, exotic, or limit-bumping goes to the accountable desk head to clear, pricing attached.
Authority
Recommend for approval
Team role
Provides specialist analysis
Handoffs
Named collaborators
The role
What it owns and where its authority ends
Desk
Equity Derivatives
Desk workflow
RFQ in, price and risk, quote out, hedge, book. Vol surfaces get re-marked through the day; complex structures route to the quant agent for pricing.
Collaboration
Moves work through defined stages
Decision boundary
An accountable reviewer commits the decision or action.
Systems and capabilities involved
Vol-surface service
Pricing library
model revaluation
Pre-trade limit + suitability gate
RFQ platform / client chat
Desk head escalation
Handoffs
What this role gives and receives
Capabilities offered
The handoffs name the next owner or specialist and the work that moves between them.
Handoff to
Handoff to
External handoff
Operations (Derivatives Ops) for confirmation
Context
What the role needs to do the work
- Current work
- The RFQ, current surface, hedge cost, desk axe.
- Prior interactions
- This client's recent option quotes, hit ratio and preferred tenors.
- Policies and reference
- Pricing models, surface conventions, product suitability rules.
- Working method
- Not specified for this role.
Illustrative workflow
How the work moves
Starting point
Client RFQ: 3-month 105% call on a single name, 50k vega.
- 01
Reprice off the live surface; add hedge cost and current axe.
- 02
Run the pre-trade limit + suitability gate.
- 03
Within band, return a two-way; outside it, draft and escalate.
Result
A two-way quote for standard size; oversized or exotic requests route to the accountable desk head with model price, Greeks, and hedge plan attached.
Checks and boundaries
What must be tested or reviewed
- 01Hard band: quotes only within preset spread, size and Greeks limits; anything outside escalates to the accountable desk head.
- 02Pre-trade suitability gate for the client classification before any quote.
- 03Daily mark consistency check vs. the official close surface.
- 04Immutable log of every quote, win or lose, for surveillance.
Human authority
An accountable reviewer commits the decision or action.
Keep exploring