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.
207 questions · page 5 of 6 · Clear filters
- You hold a deep in-the-money call, with delta near 1.The Greeks and hedging · Advanced
- You delta-hedge a long option n times over its life instead of continuously.The Greeks and hedging · Expert
- A name has 32% annualised volatility.Volatility · Foundation · Free solution
- Implied volatility is 25% and expiry is 63 trading days away, out of 252 in a year.Volatility · Foundation
- A weekly at-the-money straddle on a $100 stock costs $4.Volatility · Foundation
- You are long a delta-hedged straddle. What are you actually long?Volatility · Applied
- A name typically moves 1.25% a day. What is its annualised volatility, as a percentage?Volatility · Applied
- You are delta-hedged long a one-year at-the-money option on a $100 stock with…Volatility · Applied
- A stock’s average absolute daily move is 1%.Volatility · Applied
- You buy a straddle the day before earnings.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
- You price volatility in trading time at 20% over 252 trading days, and assume…Volatility · Advanced
- You buy a one-month at-the-money option at 20% implied volatility and delta-hedge it.Volatility · Advanced
- A stock normally has 25% volatility.Volatility · Advanced
- Index implied volatility is 18% and the average single-name implied volatility…Volatility · Expert
- Rates are zero. A digital call paying $1 above K is worth 0.45.Exotics and structured products · Foundation
- Is an arithmetic-average Asian call worth more or less than the equivalent vanilla?Exotics and structured products · Applied
- Rates are zero and Φ(d₂) = 0.45 for a given strike.Exotics and structured products · Applied
- 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
- 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
- A quanto pays a foreign index in domestic currency at a fixed rate.Exotics and structured products · Expert
- Why can some barrier options be hedged with a static portfolio of vanillas…Exotics and structured products · Expert
- What happens with def f(x, acc=[]): acc.append(x); return acc?Python and data for quants · Foundation
- You need the quote in force at the instant of each trade. Which join?Python and data for quants · Applied · Free solution
- You compute a feature with df.rolling(21, center=True).mean().Python and data for quants · Applied
- Starting from the bracket [0,5], how many bisection steps are needed to locate…Numerical methods · Applied · Free solution