Option Greeks Quant Interview Guide
Option Greeks quant interview guide for delta, gamma, theta, vega, hedging intuition, options market-making examples, and mistakes.
Candidates preparing for options market-making and risk prompts.
Greeks are price sensitivities
Option Greeks describe how an option price changes when an input changes. They help convert a complicated payoff into specific risk exposures that can be discussed and hedged.
The main Greeks answer different questions
Delta measures directional sensitivity, gamma measures delta curvature, theta measures time sensitivity, and vega measures volatility sensitivity. Each Greek isolates one local effect.
Concrete example
A market maker long gamma may see delta change quickly as the underlying moves. That can create hedging needs even when the initial delta looked small.
Greeks are local approximations
Greeks describe small changes around current inputs. Large moves, volatility surface shifts, discrete hedging, and liquidity can make realized risk differ from the simple Greek view.
Common mistakes
Candidates often memorize Greek definitions without linking them to hedging. Strong answers say what exposure exists, why it matters, and what risk remains after hedging.
Practice the pattern
Use the LeetQuidity curriculum and calibration to turn this topic into a focused practice plan.