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.
389 questions · page 8 of 10 · Clear filters
- The VIX is at 20. Roughly what one-standard-deviation move in the S&P 500 over…Volatility · Applied
- At-the-money volatility is 19%, the 25-delta call is at 18% and the 25-delta put at 23%.Volatility · Applied
- You buy the 25-delta call and sell the 25-delta put, each with vega 0.10 per…Volatility · Applied
- Index implied correlation has tended to exceed the correlation later realised…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 well above one-year implied volatility.Volatility · Advanced
- What does the VIX index actually measure?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
- One-month implied volatility is 30% and three-month is 20%.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
- You bought an option and delta-hedged it daily.Volatility · Advanced
- A one-year variance swap was struck at 20 vol points.Volatility · Advanced
- A stock’s daily high is consistently 2% above its low.Volatility · Advanced
- Why does a variance swap’s P&L not depend on the path of the stock the way a…Volatility · Advanced
- An index holds two stocks in equal weight, with implied volatilities of 30% and 20%.Volatility · Advanced
- Index implied volatility is 18% and the average single-name implied volatility…Volatility · Expert
- A cash-or-nothing digital call pays $1 if the stock finishes above K; rates are zero.Volatility · Expert
- An asset-or-nothing call struck at 100 is worth 53.98 and a cash-or-nothing…Exotics and structured products · Foundation
- Rates are zero. A digital call paying $1 above K is worth 0.45.Exotics and structured products · Foundation
- Digital calls paying $1 above 90 and above 110 are worth 0.70 and 0.30.Exotics and structured products · Foundation
- 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
- 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
- An asset-or-nothing call pays the stock itself if it finishes above the strike.Exotics and structured products · Applied
- A forward-start call is struck at the money in one year’s time and expires one…Exotics and structured products · Applied
- For continuous averaging over the whole life of an option, the log of the…Exotics and structured products · Applied
- With the same two assets (both at 100), the exchange option paying max(S₁−S₂,0)…Exotics and structured products · Applied
- A basket holds two stocks in equal weight, each with 30% volatility, correlated at 0.5.Exotics and structured products · Applied