Gamma Quant Interview Guide
Gamma quant interview guide for changing delta, curvature, near-the-money behavior, hedging, options market-making examples, and risks.
Candidates preparing for options risk and market-making questions.
Gamma measures how delta changes
Gamma is the sensitivity of delta to the underlying price. High gamma means directional exposure can change quickly as the underlying moves.
Near-the-money options often have high gamma
Gamma is usually most important near the strike, especially as expiry approaches. Small underlying moves can quickly change whether the option behaves more in or out of the money.
Concrete example
If a dealer is short gamma, a market move can push delta against the position and require buying after rises or selling after falls to stay hedged.
Gamma creates hedging frequency questions
High gamma can require more frequent rebalancing. Discrete hedging, spreads, costs, and liquidity determine whether the theoretical hedge is practical.
Common mistakes
Candidates often describe gamma as simply good or bad. The sign, hedging ability, volatility, and transaction costs determine whether the exposure is attractive.
Practice the pattern
Use the LeetQuidity curriculum and calibration to turn this topic into a focused practice plan.