Leo Capalleja

Portfolio management · Quant research · Software

I build models that turn messy data into decisions

I'm a Director of Portfolio Management at SpiderRock Advisors, part of BlackRock. Before that, I traded options at hedge funds and proprietary trading firms. I studied industrial engineering at Georgia Tech and finance at Illinois Tech. My work has always sat where quantitative research, optimization, and software meet.

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What I work on

  • Portfolio management

    I help run options strategies across thousands of client portfolios, where disciplined process and risk control matter as much as the investment thesis.

  • Quantitative research

    Pricing, simulation, and statistical modeling. Optimization has been a thread throughout, from supply chains early on to options portfolio construction today.

  • Research software

    Tools that make research and trading repeatable: clean data pipelines, guardrails that catch mistakes early, and workflows people actually use.

Now

Updated October 2026

  • Work

    Building the tools and process that let a small PM team manage options across thousands of portfolios.

  • Learning

    How to run a team of AI coding agents to build software.

  • Building

    Side project: a Chrome extension for Strava that makes it easier to plan segment attempts.

  • Life

    Getting the last road rides of the year in around Park City before ski season starts.

Selected work

  • Real option pricing for power plants

    Monte Carlo pricing of compound exchange options that model an energy company's choice of plant type and location, with a focus on variance reduction.

    White paper · 2013

  • Book-to-market and long-term returns

    How book-to-market related to 1-, 5-, 10-, and 20-year performance for a 1990 snapshot of the US market, and what the data process taught me.

    White paper · 2013

Worth reading

Outside work

I live in Park City, Utah, with my wife and two kids. Most of my free time goes to cycling (mostly road, with some mountain biking mixed in), alpine skiing, and the occasional day on Nordic skis. For the curious, here are my (extremely humble) race results on USA Cycling.

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