Antonio Berenguer: How Options Market Makers Price Volatility and Manage Risk | Blushing Quants #38

Antonio Berenguer is an options trading and market-making professional with a background in engineering, mathematics, computational research, quantitative finance, and cryptocurrency markets.

Antonio completed a PhD in computational electromagnetics before moving into quantitative finance. After earning a master’s degree in Madrid, he joined an options market-making firm in Amsterdam, where he spent approximately six years working across liquidity provision, screen and broker trading, quantitative research, signal development, and position-taking strategies. He later moved into cryptocurrency trading and market making.

In this episode, Antonio joins us for an in-depth conversation about options market making, volatility trading, liquidity, hedging, position sizing, portfolio risk, and quantitative research.

Antonio explains how market makers generate returns by quoting bid and ask prices, capturing spreads, and managing inventory risk. We discuss how they adjust quotes, use correlated assets for hedging, and sometimes cross the spread when reducing exposure becomes more important than preserving their trading edge.

The conversation explores the complexity of options portfolios across different strikes and maturities. Antonio explains how Delta, Gamma, Vega, Vanna, Volga, and other Greeks help traders summarize risk, while also highlighting the limitations of Black-Scholes and the dangers of relying too heavily on simplified measures.

We also discuss position limits, correlation risk, internal netting, centralized Delta hedging, exchange rebates, quoting obligations, and how sophisticated firms reduce transaction costs by offsetting exposures across products and trading desks.

Antonio examines the gap between academic theory and practical trading. Elegant models may fail when liquidity is limited, hedges cannot be executed, or transaction costs remove the apparent opportunity. He shares a research process built around exploring data broadly, identifying promising relationships, and focusing only on signals that can realistically be traded.

Finally, we discuss crypto options, tokenized assets, and how blockchain technology may bring traditional and digital markets closer together.

A technical and practical conversation on options, volatility, market making, portfolio risk, quantitative research, liquidity, and the infrastructure behind modern financial markets.

 

*DISCLAIMER*

The information shared on this podcast is for educational and informational purposes only and reflects the personal opinions of the hosts and guests at the time of recording. Nothing in this podcast constitutes financial, investment, legal, tax, or trading advice, and nothing should be interpreted as a recommendation to buy, sell, or hold any security, cryptocurrency, derivative, or financial product.

Trading and investing involve substantial risk, including the possible loss of all or part of your capital. You are solely responsible for your own decisions, and you should consult a qualified professional before making financial decisions. By listening to this podcast, you agree that the hosts, guests, and producers are not liable for any losses or damages arising from the use of any information discussed.