CTC strives to optimize exposure to the various risk factors that are inherent with trading a multi-product book. As the options market has matured, efficiency and competition have increased to such an extent that many of the best opportunities lie not within a particular trading crowd or product, but across multiple products traded as a portfolio. As recognition by the investment community of volatility as a separate asset class becomes more widespread, liquidity providers will increasingly be separated by their ability to manage a broad-based volatility portfolio.

• Global risk assessment and management requires rapid communication between our traders and risk managers regarding the quantification of changing risk factors and the market conditions producing such changes.
• The cooperation and close interaction between our trading and technology groups harnesses our analytical strengths to create a comprehensive and integrated real-time risk management system that provides the foundation for our marketmaking.
• The ability to assess risk on a company-wide basis represents a crucial component that allows CTC to inventory options profitably – a necessary characteristic of today’s successful liquidity providers.

In order to capitalize on profit opportunities, CTC has created significant infrastructure, both in terms of technology and risk assessment. CTC’s proprietary options valuation model represents the lynchpin of our risk management infrastructure.

• Our proprietary risk factors include several parameters developed internally.
• Once we identify a risk factor that impacts an option’s value, we quantify the impact of that element upon the option’s value and incorporate that parameter into our valuation model.
• Dynamic risk assessment allows for the anticipation of changes in both risk factors and market conditions that may impact our firm’s portfolio.