Quant interview preparation

Prop market making and quantitative research, weighted the way the interviews actually are: probability and expected value, statistics and machine learning, market making logic, programming and options. Every question is either traced to a named firm from a public candidate report, or tagged at desk level when we could not trace it, and every probability answer shows the reasoning path rather than just the number.

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Question bank

100 questions, mapped to the firms that asked them

Questions
100
Traced to a firm
53
Firms
15
Updated
September 2026
Asked at
All firmsOld Mission Capital12Tower Research Capital10Jump Trading7Akuna Capital5Citadel4D.E. Shaw3Jane Street3AQR Capital Management2DRW2Millennium Management2Schonfeld2Squarepoint Capital2Susquehanna International Group2Belvedere Trading1Optiver1
Topic
All topicsProbability10Coins, cards and games6Expected value8Statistics11Market making15Estimation and mental maths4Stochastic processes4Regression5Machine learning6Time series6Programming10Options and derivatives8Fit and motivation7
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  1. 088Walk me through the Greeks, and tell me which one a market maker actually worries about.Options and derivativesCoretechnicalProp trading firmsDerivatives

    Say this

    Delta is sensitivity to spot, gamma to how delta changes, vega to volatility, theta to time and rho to rates. A market maker hedges delta continuously and almost mechanically, so the risks they actually carry are gamma and vega.

    Then walk it

    1. Delta: first derivative of price with respect to spot, between 0 and 1 for a call, and at the money roughly 0.5. It is also approximately the risk-neutral probability of finishing in the money, which is a useful intuition.
    2. Gamma: the second derivative, highest at the money and rising sharply as expiry approaches. Gamma is why a hedge goes stale, and it is the reason a delta-hedged book still has P&L. Long gamma means you buy low and sell high while hedging; short gamma means the opposite.
    3. Vega: sensitivity to implied vol, largest for longer-dated at-the-money options. So near-dated options are a gamma trade and far-dated ones are a vega trade. That distinction drives which expiry you use to express a view.
    4. Theta: the cost of owning optionality. For a delta-hedged long option position, theta is what you pay and gamma is what you earn, and the two balance exactly when realised vol equals implied vol. That relationship is the single most useful thing in the list.
    5. So: delta gets hedged away because it is free to hedge and carries no edge. Gamma and vega are the positions a desk actually runs, and the third risk that does not appear in the standard list but dominates in practice is the correlation and skew risk across strikes, because you are never long one option, you are long a surface.

    Where candidates lose it

    Listing definitions without connecting gamma and theta. The relationship, that a delta-hedged option earns gamma and pays theta and breaks even when realised equals implied, is the answer that shows you understand what a vol trader does all day. Also be clear that delta is hedged precisely because there is no edge in it.

    Expect next

    • What is the relationship between gamma and theta?
    • Which expiry would you use to express a pure vega view?
    • What are the second-order Greeks and when do they matter?

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.