What is F&O trading intelligence?

F&O (Futures & Options) intelligence is the application of quantitative models to analyze derivatives volume distributions, open interest (OI) accumulation, and implied volatility (IV) skews.

How does Strat AI assist in F&O research?

Strat AI scans tick-by-tick option chains to assess market order flow, open interest changes, and option Greek shifts, alerting traders to probability imbalances in active index options.

Research Domain

Futures & Options (F&O) Research

Quantitative derivatives research exploring Futures and Options skew behaviors, open interest analysis, and options Greeks dynamics.

Derivatives Skew & Volatility Modeling

TRW's F&O desk researches option pricing anomalies, option volatility surface evolution, and futures hedging mechanics. We look for discrepancies between implied probability distributions and historical reality to identify risk offsets.

Recent Publications

Research papers studying futures, options, and systemic market derivatives.

Financial MarketsWorking Paper

Statistical Models for Pricing Efficiency in Indian Derivatives Markets

This paper examines the pricing efficiency of index and stock options traded on the National Stock Exchange of India using a comprehensive framework of statistical tests. We analyze deviations from theoretical pricing models, investigate the term structure of implied volatility, and evaluate the predictive power of options-derived metrics for underlying asset returns. Our findings reveal systematic pricing patterns that differ significantly from mature derivatives markets.

TRW Quantitative Research, Financial Markets Division·May 2026