Options Market-Making Simulation

This repository contains an implementation of a market-making strategy for options in a simulated trading environment. The project was originally developed as part of a quantitative trading competition. To respect proprietary restrictions, the original framework has been removed and the project anonymized for public release.

Project Overview

The main focus of this project is to design a systematic market-making strategy that can dynamically quote bid and ask prices while managing risk in an options market simulation.

Key Components

1. Pricing Model

   • Implements a lightweight binomial tree for European option pricing.
   • Used to assess relative mispricing and guide quoting decisions.

2. Market-Making Logic

   • Adaptive bid/ask quoting based on:
     • Volatility and time to maturity
     • Estimated Greeks (delta and gamma)
     • Recent market activity
   • Balances competitiveness with risk exposure.

3. Risk Management

   • Delta control to manage directional exposure.
   • Spread adaptation to mitigate extreme scenarios.
   • Position monitoring to maintain a stable risk profile.

Notes

• The project demonstrates coding style, pricing implementation, and structured trading logic.
• The simulation environment is abstract; it is not connected to any real exchange or market data.
• The proprietary framework used during the competition has been hidden (framework.py) and is listed in .gitignore.

Usage

• Run the strategy file (market_maker.py) in the provided simulation environment.
• Modify parameters in market_maker.py to experiment with different quoting and risk management behaviors.