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 1–7 of 7 · filtered from 100Clear filters
  1. 002An index's 25-delta put trades at 28% implied volatility, the 25-delta call at 20% and at-the-money at 23%. Price a zero-cost risk reversal, explain what the skew is paying for, and say who is on the other side.Options and volatility tradingHardOptions market makingQuant trading
  2. 013An equally weighted index of ten stocks has implied volatility 18% while each member's implied is 30%. Compute the implied correlation and the sign of P&L for selling index volatility and buying member volatility if realised correlation is 0.25.Options and volatility tradingHardOptions market makingQuant research
  3. 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
  4. 027A desk holds a variance swap struck at 25 volatility on Rs 1 crore vega notional. What does it pay if realised volatility is 35 or 15, and why is a delta-hedged straddle not the same trade?Options and volatility tradingHardOptions market makingQuant research
  5. 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
  6. 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
  7. 094Bhavantar is long 100 at-the-money straddles with total gamma of 40 shares per rupee. The stock moves 1,000, 1,010, 1,000, 990, 1,000 during the day, theta costs Rs 3,000, and the desk re-hedges at each step. What is the net P&L?Options and volatility tradingWarm upOptions market makingQuant trading

Company names and figures are illustrative.