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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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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Showing 21–21 of 21 · filtered from 100Clear filters
  1. 090What is the difference between implied and realised volatility, and what does the gap between them tell you?Options and derivativesIntermediatetechnicalDerivativesProp trading firms

    Say this

    Implied vol is the market's forward-looking price of volatility, backed out of option prices. Realised vol is a backward-looking statistic computed from returns. Implied sits above realised on average by a few points, and that gap is the variance risk premium, not a free lunch.

    Then walk it

    1. Implied comes from inverting a pricing model on a traded price, so it is a price expressed in volatility units. Realised is the annualised standard deviation of returns over a window, and how you compute it matters: close-to-close, high-low estimators like Parkinson or Garman-Klass, or sums of intraday squared returns.
    2. On the S&P, VIX has historically averaged around 19 to 20 against realised vol nearer 15 to 16. That three to four point gap is persistent and it is compensation to option sellers for taking gap risk and for providing crash insurance.
    3. So the gap does not mean options are overpriced. It means there is a premium for bearing the risk that variance spikes, and that risk is exactly the risk that hurts most when it materialises, since vol spikes coincide with equities falling.
    4. Where the gap becomes information: the term structure, which is normally upward sloping and inverts in a crisis, and the spread between implied and a good realised forecast. If implied is unusually high relative to a GARCH or HAR forecast, that is a candidate signal, but it has to clear the premium first.
    5. And the practical trap to name: implied vol from a monthly option is a forecast of realised vol over the next month, so comparing today's VIX to the last month's realised vol is comparing a forecast to the wrong period. Aligning the horizons correctly makes a lot of apparent signal disappear.

    Where candidates lose it

    Concluding that because implied exceeds realised you should always sell vol. That trade works for years and then loses everything in a week, and interviewers ask it to see whether you know the premium exists for a reason. Also mismatching horizons, which is the technical error that generates fake signals.

    Expect next

    • Why does the variance risk premium exist?
    • How would you actually forecast next month's realised vol?
    • What does an inverted vol term structure tell you?

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.