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// QUANT INTERVIEW PREP

Options Quant Interview Prep & Practice

Options questions show up in trader and derivatives interviews: parity, payoffs and how the Greeks move as price, time and volatility change.

Sample Options Questions

  1. Question 1 · Da Vinci Numerical Quiz and Career Match

    What is the intrinsic value of a 55-strike put with spot at 65?

    See the solution ↓

  2. Question 2 · Options Theory and Greeks

    You sold an $80 put for $2.06. The stock finishes at $73. What is the profit per share? Losses are negative.

    See the solution ↓

  3. Question 3 · Risk Analyst Screen

    A portfolio is short gamma. Volatility spikes sharply. What happens?

    • Losses accelerate as the move grows - the hedge worsens with size
    • Losses are linear in the move
    • The position gains from higher volatility
    • Delta stays constant
    See the solution ↓

  4. Question 4 · Five Rings Quant Trading Screen

    A stock trades at $48. An at-the-money call has 30 trading days left and implied vol of 45%. Roughly what is it worth, in dollars?

    See the solution ↓

  5. Question 5 · Mako Aptitude and Round Two

    Spot is 50 and a 50-strike call trades at 2. Ignoring rates and dividends, what is the 50-strike put worth at the same expiry?

    • 2
    • 0
    • 1
    • 3
    See the solution ↓

Step-by-Step Solutions

  1. Solution 1

    What is the intrinsic value of a 55-strike put with spot at 65?

    Answer: 0

    A put is worth 55 - 65 = -10 if exercised now, and intrinsic value cannot be negative, so 0.

  2. Solution 2

    You sold an $80 put for $2.06. The stock finishes at $73. What is the profit per share? Losses are negative.

    Answer: -4.94

    Pay out max(80 - 73, 0) = $7.00, keep the $2.06: -$4.94. The worst case is the stock at zero, which costs $77.94 a share - large, but bounded, unlike the short call.

  3. Solution 3

    A portfolio is short gamma. Volatility spikes sharply. What happens?

    Answer: Losses accelerate as the move grows - the hedge worsens with size

    Short gamma means delta moves against you as spot moves, so re-hedging locks in losses at an accelerating rate.

  4. Solution 4

    A stock trades at $48. An at-the-money call has 30 trading days left and implied vol of 45%. Roughly what is it worth, in dollars?

    Answer: 2.98

    An ATM option is worth about 0.4·σ·√T·S. √(30/252) = 0.35, so 0.4 × 0.45 × 0.35 × 48 ≈ 2.98.

  5. Solution 5

    Spot is 50 and a 50-strike call trades at 2. Ignoring rates and dividends, what is the 50-strike put worth at the same expiry?

    Answer: 2

    Put-call parity: call - put = spot - strike, so put = 2 - (50 - 50) = 2.

How to Pass the Options Screen

Know put-call parity cold. A large share of options questions are parity rearranged.

Think in payoffs at expiry, then work backwards. Drawing the payoff usually tells you the sign of every Greek.

Learn how delta and gamma behave near the strike and close to expiry. That is where interview questions concentrate.

Practice options alongside 4,000+ more procedurally generated scenarios under live timer conditions. Unlock Outcry Pro.

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