Quant case studies, worked step by step

Cases
100
Traced to a firm
43
Topics
11
Hard
30
Topic
All topicsSignal research and data tasks10Options and volatility trading10Market-making games14Portfolio construction10Strategy evaluation and backtests9Execution and market microstructure8Fixed income and credit8Regression and model review8Risk measurement and limits9Statistical arbitrage and event trades8Position sizing and bankroll6
Level
AnyWarm upCoreHard
Source
AnyReported at a firmStandard
Showing 1–3 of 3 · filtered from 100Clear filters
  1. 023An options book shows delta 2,000 shares, gamma 300 shares per rupee, vega Rs 2 lakh per vol point and theta minus Rs 1.5 lakh a day. The stock rises Rs 4 and implied volatility rises 1 point; reported P&L is Rs 1 lakh. Attribute the P&L and size the unexplained residual.Options and volatility tradingCoreOptions market makingRisk quant
  2. 038You are short 1,000 calls struck at 500 on a stock at 500.2, thirty minutes before expiry, hedged with 500 shares. What is your exposure after uncertain exercise, and would you close the position?Options and volatility tradingCoreOptions market makingRisk quant
  3. 056A stock's one-month at-the-money implied volatility is 32% and its three-month is 24%, with results due in two weeks. Back out the move the options imply for the results day, and decide whether the event is priced rich.Options and volatility tradingCoreOptions market makingQuant trading

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