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.
245 questions · page 5 of 7 · Clear filters
- A European call at the $100 strike has an implied volatility of 22%.Option pricing models · Applied
- Equity index options show higher implied volatility for low strikes than for high strikes.Option pricing models · Applied
- Which answer to "what is wrong with Black–Scholes?" is strongest in an interview?Option pricing models · Advanced
- The Black–Scholes PDE is Θ+1/2σ²S²Γ+rSΔ−rV = 0.Option pricing models · Advanced
- Adding jumps to a diffusion model mainly changes the prices of which options?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
- What is the sign of gamma on a long put?The Greeks and hedging · Foundation · Free solution
- You are long a straddle and have hedged the delta.The Greeks and hedging · Applied
- A one-year at-the-money call on a non-dividend-paying stock, with positive rates.The Greeks and hedging · Applied
- Where is the gamma of a call option largest?The Greeks and hedging · Applied
- You are long 70 one-month contracts with $4 of vega each.The Greeks and hedging · Applied
- What is the Black–Scholes delta of a one-year at-the-money European put on a…The Greeks and hedging · Applied
- A one-year at-the-money call on a $100 stock has 20% volatility and rates are zero.The Greeks and hedging · Applied
- For a one-year at-the-money European put on a $100 stock with 20% volatility…The Greeks and hedging · Applied
- An option has delta 0.5 and gamma 0.04 per share.The Greeks and hedging · Applied
- Two at-the-money options on the same stock have the same implied volatility…The Greeks and hedging · Applied
- You are long 10 delta-hedged contracts, each on 100 shares, with gamma 0.05 per share.The Greeks and hedging · Applied
- You are short options and delta hedging.The Greeks and hedging · Applied
- A position has gamma of 20 shares per dollar on a $100 stock.The Greeks and hedging · Applied
- A book has delta +2,000 shares, gamma −300 shares per dollar and vega +$5,000…The Greeks and hedging · Applied
- What is the Black–Scholes delta of a one-year straddle struck at-the-money spot…The Greeks and hedging · Applied
- You are short gamma and an earnings announcement is due tomorrow. What is the concern?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
- Your book is delta, gamma and vega neutral. Why does the desk still run a scenario grid?The Greeks and hedging · Advanced
- With zero rates, Black–Scholes theta is Θ = −1/2σ²S²Γ.The Greeks and hedging · Advanced
- You hold a deep in-the-money call, with delta near 1.The Greeks and hedging · Advanced
- Volga (vomma) is the sensitivity of vega to volatility.The Greeks and hedging · Advanced
- For a one-year at-the-money call on a $100 stock with zero rates, how much does…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
- 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
- On an equity index, out-of-the-money puts consistently imply higher volatility…Volatility · Applied
- 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
- A stock’s average absolute daily move is 1%.Volatility · Applied
- A one-month at-the-money straddle on a $100 stock costs $4.60, with rates near zero.Volatility · Applied
- On equity indices implied volatility has, on average, exceeded subsequently…Volatility · Applied
- You buy a straddle the day before earnings.Volatility · Applied