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 6 of 7 · Clear filters
- A variance swap has vega notional $50,000 and a strike of 25 volatility points.Volatility · Applied
- The VIX is at 20. Roughly what one-standard-deviation move in the S&P 500 over…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
- One-month implied volatility is well above one-year implied volatility.Volatility · Advanced
- What does the VIX index actually measure?Volatility · Advanced
- Thirty-day implied volatility is 30% and the options price a 6% move on a…Volatility · Advanced
- You believe index skew is too steep. What is the cleanest expression of that view?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
- 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
- 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
- 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
- Rates are zero and Φ(d₂) = 0.45 for a given strike.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 one-year reverse convertible on a $100 stock repays $100 plus a coupon…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
- With the same two assets (both at 100), the exchange option paying max(S₁−S₂,0)…Exotics and structured products · Applied
- A client buys a call on the worst performer of three stocks.Exotics and structured products · Applied
- A desk sells a digital call struck at K and hedges it with a call spread.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 knock-out is monitored on daily closes rather than continuously.Exotics and structured products · Advanced
- You are long a call on a basket of two stocks. What is your correlation exposure?Exotics and structured products · Advanced
- A desk sells autocallable notes to retail investors. What risk does it end up carrying?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 gap call pays S_T−90 whenever S_T > 100, and nothing otherwise.Exotics and structured products · Advanced
- What is the vega of an up-and-out call with the stock well above the strike and…Exotics and structured products · Advanced
- An option to exchange asset 2 for asset 1 pays max(S₁−S₂,0) in one year.Exotics and structured products · Advanced
- You are short a digital paying $1,000,000 if a $100 stock finishes above $100 in one week.Exotics and structured products · Advanced
- A desk is short a knock-out option to a client.Exotics and structured products · Advanced
- Rates and dividends are zero.Exotics and structured products · Expert