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Business Analyst
(Executive Assistant
to
Directors)
IRAGE 2
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IRAGE 3
Desired Skills
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IRAGE 4
Recruitment
Assignment
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Recruitment assignment 5
Effect of ‘Physical
Settlement of Equity
Derivatives’ on market
activity at NSE.
Introduction:
The Market Regulator of India – SEBI (Securities and
Exchange Board of India) introduced physical settlement
of equity derivatives in India in a phased manner from
the mid of last year.
Circular:
https://www.sebi.gov.in/legal/circulars/apr-2018/review-of-framework-for-stocks-in-derivatives-
segment_38629.html
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Recruitment assignment 6
Effect of ‘Physical
Settlement of Equity
Derivatives’ on market
activity at NSE.
Problem statement (1/3):
Please prepare a presentation of the effect of this
change on
(i) trading volumes in stocks,
(ii) trading volumes in derivatives,
(iii) open interest in derivatives,
(iv) volatility in stock prices
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Recruitment assignment 7
Effect of ‘Physical
Settlement of Equity
Derivatives’ on market
activity at NSE.
Problem statement (2/3):
(You might want to look at the following files: Bhavcopy, Daily Volatility, Open Interest [this is not
an exhaustive list – there could be more relevant files, but these should suffice as a good starting
point])
Please also note that you could use ftp tools to download daily files for different dates in a
systematic manner.
For e.g., the bhavcopy file for 25th January is obtainable from the following location:
https://www.nseindia.com/content/historical/DERIVATIVES/2019/JAN/fo25JAN2019bhav.csv.zip
By modifying the url, you can download for any date.
On a linux machine, the following command will fetch this file:
wget -U firefox -r -np https://www.nseindia.com/content/historical/DERIVATIVES/2019/JAN/fo25JAN2019bhav.csv.zip
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Recruitment assignment 8
Effect of ‘Physical
Settlement of Equity
Derivatives’ on market
activity at NSE.
Problem statement (3/3):
Please note the following expiration data points for your
analysis:
Contracts Expiration date First traded on
July 2018 Expiration Contracts 26 July 2018 27 April 2018
August 2018 Expiration Contracts 30 August 2018 1 June 2018
September 2018 Expiration Contracts 27 September 2018 27 July 2018
October 2018 Expiration Contracts 25 October 2018 31 August 2018
November 2018 Expiration Contracts 29 November 2018 28 September 2018
December 2018 Expiration Contracts 27 December 2018 26 October 2018
January 2019 Expiration Contracts 31 January 2019 30 November 2018
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IRAGE 9
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IRAGE 10
About
Us
We are IRAGE
We provide liquidity
(i.e. Buy and Sell prices) in 1000s
of complex derivatives & equities
continuously throughout the day!
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IRAGE 13
PROCESS
1000s of EVENTS
(peak data flow:10s GBps)
EXECUTE
COMPLEX LOGIC
(mega portfolio of 1000s derivatives)
MANAGE
RISKS REAL TIME
in
In 1µs
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IRAGE 14
PERFORM
QUADRILLION
Instructions per server
PROCESS
100S OF GIGABYTES
of data
Across 1 day
MANAGE
STATE of MILLIONS
of orders per server
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IRAGE 15
We also try to
have fun at the same
time
Stocked Cafeteria
A look at
our people.
Rajib focusses on business strategy, trading
strategies, risk management & internal processes.
He is a regular speak at algorithmic trading
conferences across Asia, America & Europe
Prior experiences – quant research (Bloomberg, NY);
high frequency trading (Optiver, Amsterdam); data
analytics technology (Oracle); business strategy for
an investment firm & derivatives exchanges
Represented India at World Puzzle Championship 4
times. Finalist at Indian National Biology Olympiad.
Rajib is also a visiting faculty in finance at IIM
Ahmedabad Rajib Ranjan Borah
B.E. Computer Engineering (NIT Surathkal) CEO
PGDM – IIM Calcutta
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IRAGE
A look at
our people.
Core Technology
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IRAGE
A look at
our people.
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