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.
1,322 questions · page 15 of 34
- You must hedge a delta of 10,000 shares using a one-year futures contract on…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
- Reading a book’s risk report, part 3 of 3The Greeks and hedging · Advanced
- Neutralising delta and gamma, part 3 of 3The Greeks and hedging · Advanced
- Living with a long straddle, part 3 of 4The Greeks and hedging · Advanced
- Theta pays for gamma, part 3 of 3The Greeks and hedging · Advanced
- You delta-hedge a long option n times over its life instead of continuously.The Greeks and hedging · Expert
- Living with a long straddle, part 4 of 4The 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
- Pricing an earnings move, part 1 of 3Volatility · Foundation
- Forward volatility across the term structure, part 1 of 3Volatility · Foundation
- Selling volatility, day by day, part 1 of 3Volatility · Foundation
- A variance swap from trade to mark, part 1 of 3Volatility · Foundation
- A name moves 2% a day.Volatility · Applied · Free solution
- 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
- 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
- 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
- A variance swap has vega notional $50,000 and a strike of 25 volatility points.Volatility · Applied
- Four daily returns are +1%, −2%, +1.5% and −0.5%.Volatility · Applied
- The VIX is at 20. Roughly what one-standard-deviation move in the S&P 500 over…Volatility · Applied
- An EWMA volatility model with λ = 0.94 has yesterday’s daily volatility estimate at 1%.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
- Pricing an earnings move, part 2 of 3Volatility · Applied
- Forward volatility across the term structure, part 2 of 3Volatility · Applied
- Selling volatility, day by day, part 2 of 3Volatility · Applied
- A variance swap from trade to mark, part 2 of 3Volatility · 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