Joseph Lattimore
New York,NY
Summary
Innovative and results-driven volatility trader with extensive experience in equity derivatives, FX, and fixed income markets. Proficient in building and executing semi-systematic strategies that balance quantitative rigor with qualitative insights, delivering consistent alpha and exceptional risk-adjusted returns. Demonstrates autonomy in strategy development, a proven track record of profitability across diverse market conditions, and a commitment to leadership and talent development. Passionate about driving performance through innovation and disciplined risk management.
Overview
11
11
years of professional experience
1
1
Certification
Work History
FICC ETF Volatility Flow Trader
Bank of America
New York, USA
03.2021 - Current
- Devised proprietary models to decompose FICC ETF volatility into native market components, enabling precise identification of tradeable dislocations
- Scripted real-time surface comparisons and relative volatility screens, optimizing decision-making and capturing opportunities
- Spearheaded the migration and launch of the FICC ETF Volatility desk from Equities to Credit
- Ranked as a top 3 producer within the team, achieving $3.5M in PnL in 2023 and $8M in 2024, with tripled risk limits since joining
- Collaborated with other business lines to optimize trade funding, expression, and efficiency, enhancing firm-wide outcomes
- Developed and executed high-performing strategies, including UST ETF vs Native Bond Volatility RV and Term Structure Event Volatility Modeling
- Successfully demonstrated innovation and performance, earning the opportunity to expand the trading mandate to include Fixed Income ETF Total Return Swaps (FI ETF TRS).
US Equity Volatility Flow Trader
Société Générale
New York, USA
07.2018 - 02.2021
- Managed a US equities trading book, achieving PnL of $3.5M (2018), $7M (2019), and $15M (2020)
- Designed statistical frameworks to rank and identify dislocations across single names, indices, and surfaces, optimizing trading outcomes
- Pioneered earnings calendar and dispersion strategies to leverage undervalued optionality, driving exceptional returns
- Consistently top producer within the team, delivering innovative approaches to risk management and alpha generation
- Mentored analysts and associates to build foundational skills in evaluating and executing trades
Trading Analyst (Rotational Program)
Citigroup
New York, USA
06.2016 - 07.2018
- Single Stock Volatility Trading Rotation: Mastered the 'art' of trading by supporting senior traders in managing customer RFQs and crafting trade opportunities
- G10 FX Volatility Trading Rotation: Developed deep technical expertise in volatility trading, including event-driven risk reversal models
Sales Assistant (High Yield and Distressed)
Citi
Buffalo, NY
04.2014 - 06.2016
- Assisted Sales and Trading by arranging payments, claw-backs and other special situation in the credit
Education
Bachelor of Science - Finance, Economics
Rochester Institute of Technology
Rochester, NY01-2013
Skills
- Portfolio Construction: Expertise in structuring portfolios with 3-5 uncorrelated strategies Trades pass rigorous quantitative and qualitative evaluation, with strict odds thresholds (70/30 or 60/40 net of costs) and dynamic risk budgets (40-85%) to balance flexibility and opportunity
- Quantitative Strategy Development: Proprietary models for volatility dislocations, pair trading, dispersion, and earnings calendar strategies
- Leadership & Mentorship: Trusted advisor to team members on trade ideas and execution Actively develops young talent, fostering a strong foundation in trading principles and independent decision-making - Market Expertise: Deep knowledge of equity derivatives, FX volatility, fixed income products, and Delta One strategies
- Risk Management: Scenario testing, PnL forecasting, and advanced hedging techniques
Certification
- FINRA Series 7, 63 & 57
Performancemetrics
- Consistent Profitability: Delivered positive PnL every quarter and year of career.
- Société Générale PnL: $3.5M (2018, $7M adjusted), $7M (2019), $15M (2020).
- Bank of America PnL: $400K (2021, $2.4M adjusted, launched in late October), $2.5M (2022), $3.5M (2023), $8M (2024).
Technical Skills
Python: Proficient in data analysis and modeling using pandas, numpy, statsmodels, and scikit-learn. Experienced in building and testing statistical models, conducting time-series analysis, and leveraging machine learning techniques such as random forests for predictive insights.
Volatility Modeling: Skilled in constructing and calibrating volatility surfaces, modeling term structures, and developing proprietary frameworks to identify and exploit dislocations, incorporating implied vs. realized volatility dynamics into strategy design.
Bloomberg: Experienced in utilizing Bloomberg Terminal for market data analysis, volatility surface evaluation, bond pricing, and ETF performance tracking, with expertise in designing custom queries for actionable insights.
Excel: Proficient in Excel functions for financial modeling and Data Analysis
Interests
Triathlons, Skiing, Real-time Stratedgy games
Timeline
FICC ETF Volatility Flow Trader
Bank of America
03.2021 - Current
US Equity Volatility Flow Trader
Société Générale
07.2018 - 02.2021
Trading Analyst (Rotational Program)
Citigroup
06.2016 - 07.2018
Sales Assistant (High Yield and Distressed)
Citi
04.2014 - 06.2016
Bachelor of Science - Finance, Economics
Rochester Institute of Technology
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