Quant interview preparation

Questions

100

Traced to a firm

53

Firms

15

Updated

September 2026

Asked at

All firmsOld Mission Capital12Tower Research Capital10Jump Trading7Akuna Capital5Citadel4DED.E. Shaw3Jane Street3ACAQR Capital Management2DRW2Millennium Management2Schonfeld2SCSquarepoint Capital2Susquehanna International Group2Belvedere Trading1Optiver1

Topic

All topicsProbability10Coins, cards and games6Expected value8Statistics11Market making15Estimation and mental maths4Stochastic processes4Regression5Machine learning6Time series6Programming10Options and derivatives8Fit and motivation7

Level

AnyCoreIntermediateHard

Type

AnyBrainteaserTechnicalCaseMarket viewFit

1. 070Something goes badly wrong on your book during the session. How do you react?Market makingIntermediatetechnicalOld Mission CapitalProp Trading · Chicago · 2025

   Say this

   Reduce risk first, diagnose second, and tell someone immediately. In that order. The instinct to understand the problem before acting on it is the wrong instinct when the position is still live and the loss is still growing.

   Then walk it

   1. Step one, stop the bleeding. Pull quotes, flatten or hedge the exposure I did not intend to have, and cap any automated system that might still be adding to it. Getting smaller is almost never the wrong move under uncertainty.
   2. Step two, escalate. Tell the senior trader on the desk and the risk desk straight away, before I know the cause. Every trading floor's disaster stories are about someone who tried to fix it quietly first.
   3. Step three, establish the facts. What is my actual position, what is the realised and unrealised loss, is the pricing wrong or is the position wrong, and is anything still running that I have not stopped.
   4. Step four, only then diagnose and fix. A bad parameter, a stale feed, a hedge that did not go through, a fat finger, a genuine adverse move.
   5. And afterwards, write it up. A one-page post-mortem with a concrete control change is what stops the same failure twice. What a desk actually wants to hear from a junior candidate is that you act to reduce risk without needing permission, and escalate without needing to look competent first. Composure plus disclosure, in that order.

   Where candidates lose it

   Answering that you would investigate the cause first. On a live book that is exactly backwards, and a prop trading interviewer is listening for the reduce-then-escalate-then-diagnose sequence. Also do not claim you would stay completely calm. Say you would act on a checklist precisely because you would not be calm.

   Expect next

   • Who do you tell, and how quickly?
   • Tell me about a time you made a real mistake and what you did.
   • What would you put in the post-mortem?

   Reported by candidates at Old Mission Capital (Prop Trading, Chicago, 2025). Source: Wall Street Oasis.

2. 087You think the market is overestimating volatility. What options strategy would you use?Options and derivativesIntermediatetechnicalOld Mission CapitalProp Trading · Chicago · 2025

   Say this

   Sell volatility and hedge the direction out. The cleanest expression is a short straddle or strangle, delta-hedged so the position is a bet on volatility rather than on the underlying. If implied vol is above what I think realised vol will be, I collect the difference through the gamma-hedging P&L.

   Then walk it

   1. The mechanism: a delta-hedged short option position makes money when realised volatility comes in below the implied vol you sold. Your P&L is approximately half of gamma times the difference between implied variance and realised variance, integrated over the life of the trade.
   2. The instrument choice. A short straddle at the money has the most vega and gamma per unit of premium, so it is the purest vol expression. A short strangle has less gamma but a wider profitable range and less immediate pin risk. If I wanted a cleaner exposure with no path dependence I would sell a variance swap, where the payoff is literally implied minus realised variance.
   3. Risk management is the whole trade. Short gamma means every hedge is at a worse price than the last, so a gap move is where the loss lives. I would cap it with a long wing, turning the strangle into an iron condor, which sacrifices some premium to remove the unbounded tail.
   4. Sizing from the tail: I would set the position so the worst plausible gap, say a five percent overnight move, is a loss I can carry, not from the expected daily P&L. Short vol positions have positive expected value most days and lose several months of it in one session.
   5. And the honest caveat: implied vol trading above realised vol is the normal state of the world, not a mispricing. The variance risk premium exists because sellers are being paid to warehouse gap risk. So I need to believe implied is rich relative to that premium, not merely rich relative to realised, otherwise I am just collecting a risk premium and calling it alpha.

   Where candidates lose it

   Answering short straddle and stopping. Two things must follow: that you delta hedge to isolate the vol view, and that short gamma means a fat left tail so you cap or size for it. Also the variance risk premium point, because saying implied is above realised therefore sell it is the reasoning that ends careers.

   Expect next

   • How do you make it a pure volatility trade?
   • What happens if the stock gaps ten percent overnight?
   • Why is implied usually above realised in the first place?

   Reported by candidates at Old Mission Capital (Prop Trading, Chicago, 2025). Source: Wall Street Oasis.

Firm tags come from public, anonymous candidate reports on Wall Street Oasis: strong signal, not sworn testimony. Firms are named as the places a question was reported, not as partners of Fin Maverick. Answers are written for this page to show how to think out loud; they are not scripts to recite.