Quant interview questions

1,322 questions · page 16 of 34

• 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
• Pricing an earnings move, part 3 of 3Volatility · Advanced
• Forward volatility across the term structure, part 3 of 3Volatility · 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
• Selling volatility, day by day, part 3 of 3Volatility · Expert
• A variance swap from trade to mark, part 3 of 3Volatility · 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
• Averages and extremes on a tree, part 1 of 3Exotics and structured products · Foundation
• In, out and the vanilla, part 1 of 3Exotics and structured products · Foundation
• Pricing and hedging a digital, part 1 of 3Exotics and structured products · Foundation
• Two stocks and a worst-of, part 1 of 3Exotics 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 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
• 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