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.
136 questions · page 1 of 4 · Clear filters
- The best bid is 100.00 for 900 shares and the best offer is 100.10 for 100 shares.Market making · Applied
- You buy 1,000 shares passively at a bid of $50.00, earning a maker rebate of…Market making · Applied
- Your passive fills capture a half-spread of 2 cents a share and earn a rebate of 0.2 cents.Market making · Applied
- You are long 500 shares of a stock whose daily price changes have a standard…Market making · Applied
- In Kyle’s model, what determines how much the price moves per unit of net order flow?Market making · Advanced
- An asset is worth 100 or 110 with equal probability.Market making · Advanced
- Avellaneda and Stoikov give a reservation price r = s−qγσ²(T−t).Market making · Expert
- What keeps a liquid equity ETF trading close to the value of its basket?Markets and products · Applied · Free solution
- A stock is announced for inclusion in a major index, effective in two weeks.Markets and products · Applied
- A stock at $60 declares a three-for-two split. What happens to the strike of a $60 call?Markets and products · Applied
- Why do equity ETFs usually distribute fewer capital gains to holders than…Markets and products · Applied
- On 6 May 2010 US equities fell several percent and recovered within minutes.Markets and products · Applied
- A bond ETF trades at a 3% discount to its stated net asset value during a selloff.Markets and products · Advanced
- In February 2018 several inverse-VIX products lost almost all their value in a day.Markets and products · Advanced
- You sell the $95 put and the $105 call, and buy the $90 put and the $110 call…Options: fundamentals and arbitrage · Applied
- The three-month $100 call trades at $5 and the six-month $100 call at $4, on a…Options: fundamentals and arbitrage · Applied
- You are short a call struck at exactly where the stock is trading into the…Options: fundamentals and arbitrage · Advanced
- When should you exercise an American call early?Options: fundamentals and arbitrage · Advanced
- A stock is at $100 with no dividends.Options: fundamentals and arbitrage · Advanced
- Rates are high and a stock on which you hold an American put has collapsed to near zero.Options: fundamentals and arbitrage · Advanced
- A stock at $100 goes to $120 or $90 in one period, rates are zero.Option pricing models · Foundation
- In the Black–Scholes formula, what does Φ(d₂) represent?Option pricing models · Applied
- A stock at $100 moves by a factor of 1.2 or 0.8 each period for two periods…Option pricing models · Applied
- A one-year at-the-money call on a $100 stock has 20% volatility and zero rates.Option pricing models · Applied
- Price the one-year at-the-money call on a $100 stock at 20% volatility with…Option pricing models · Applied
- You solve for implied volatility by bisection on the bracket [0.01,2.00] to a…Option pricing models · Applied
- Which answer to "what is wrong with Black–Scholes?" is strongest in an interview?Option pricing models · Advanced
- Same two-period tree: $100 stock, factors 1.2 and 0.8, zero rates.Option pricing models · Advanced
- What is the essential difference between a local volatility model and a…Option pricing models · Advanced
- A binomial tree with 50 steps prices an option $0.04 above the Black and Scholes value.Option pricing models · Advanced
- A two-step tree has S₀ = 100, u = 1.1, d = 0.9 and a one-step growth factor R = 1.05.Option pricing models · Expert
- 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
- You are long 50 calls with delta 0.6, short 30 puts with delta −0.4, and short…The Greeks and hedging · Applied
- What does vanna measure, and when does it matter most?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
- Volga (vomma) is the sensitivity of vega to volatility.The Greeks and hedging · Advanced
- Your book is delta neutral with gamma of −600 shares per dollar.The Greeks and hedging · Advanced
- Your book shows total vega of zero: long one-month vega and short one-year vega…The Greeks and hedging · Advanced
- You delta-hedge a long option n times over its life instead of continuously.The Greeks and hedging · Expert