Quant interview questions
1,322 questions in the style trading and research firms ask, from probability and brainteasers to options, statistics and coding. Every question is open to read; the 50 in the free sample show their worked solutions here.
86 questions · page 2 of 3 · Clear filters
- Where is the time decay of a long option largest?The Greeks and hedging · Foundation
- You are long 10 call contracts with delta 0.55, each on 100 shares.The Greeks and hedging · Foundation
- Why can’t you hedge an option book’s gamma by trading the underlying stock?The Greeks and hedging · Foundation
- Which has more vega: a one-month at-the-money option or a one-year at-the-money…The Greeks and hedging · Applied · Free solution
- Where is the gamma of a call option largest?The Greeks and hedging · Applied
- You are long 20 call contracts, each on 100 shares, with delta 0.4.The Greeks and hedging · Applied
- You are long 50 calls with delta 0.6, short 30 puts with delta −0.4, and short…The Greeks and hedging · Applied
- You are long 70 one-month contracts with $4 of vega each.The Greeks and hedging · Applied
- Hedging error falls as one over the square root of the number of hedges.The Greeks and hedging · Applied
- You are long 100 at-the-money calls, delta-hedged.The Greeks and hedging · Advanced
- A one-year at-the-money call on a $100 stock has 20% volatility and rates are zero.The Greeks and hedging · Advanced
- What does vanna measure, and when does it matter most?The Greeks and hedging · Advanced
- A contract covers 100 shares, gamma is 0.05 per share and theta is −$6 per…The Greeks and hedging · Advanced
- A one-year at-the-money call on a $100 stock has 20% volatility and rates of 5%.The Greeks and hedging · Advanced
- Your book is delta, gamma and vega neutral. Why does the desk still run a scenario grid?The Greeks and hedging · Advanced
- You delta-hedge a long option n times over its life instead of continuously.The Greeks and hedging · Expert
- Implied volatility is 25% and expiry is 63 trading days away, out of 252 in a year.Volatility · Foundation
- You are long a delta-hedged straddle. What are you actually long?Volatility · Applied
- You are delta-hedged long a one-year at-the-money option on a $100 stock with…Volatility · Applied
- Implied volatility on a name is 16% and it has been realising about 1.5% a day.Volatility · Advanced
- One-month implied volatility is 30% and three-month is 20%.Volatility · Advanced
- A variance swap struck at 20% has a vega notional of $100,000 per volatility point.Volatility · Advanced
- How is a variance swap replicated with vanilla options?Volatility · Advanced
- Thirty-day implied volatility is 30% and the options price a 6% move on a…Volatility · Advanced
- Under a sticky-delta regime, what happens to the implied volatility of a fixed…Volatility · Advanced
- You believe index skew is too steep. What is the cleanest expression of that view?Volatility · Advanced
- VIX futures are in contango: the front month at 18 and the second at 20, with…Volatility · Advanced
- Index implied volatility is 18% and the average single-name implied volatility…Volatility · Expert
- How do you replicate a cash-or-nothing digital call?Exotics and structured products · Applied · Free solution
- A vanilla call is worth $8 and the corresponding up-and-in call is worth $3.Exotics and structured products · Applied · Free solution
- You replicate a digital paying $1 above the strike using a call spread half a dollar wide.Exotics and structured products · Applied
- A vanilla put is worth $8 and the corresponding down-and-out put is worth $3.Exotics and structured products · Applied
- How does a floating-strike lookback call compare with a vanilla call on the…Exotics and structured products · Applied
- Why will no desk hold a naked short digital into expiry with the spot sitting…Exotics and structured products · Advanced · Free solution
- You are long a call on a basket of two stocks. What is your correlation exposure?Exotics and structured products · Advanced
- A power contract pays S_T² at maturity.Exotics and structured products · Advanced
- Two assets each have 30% volatility and correlate at 0.5.Exotics and structured products · Advanced
- Why is the volatility of a geometric average of a lognormal path lower than…Exotics and structured products · Advanced
- A chooser lets you decide at time t whether you hold a call or a put, both…Exotics and structured products · Advanced
- A desk has sold many autocallables with barriers clustered at the same index level.Exotics and structured products · Advanced