Vega Market Making Interview Intuition
Vega market making interview intuition for volatility exposure, option quote width, and uncertainty about the distribution of outcomes.
Candidates discussing option quotes under volatility uncertainty.
Vega is volatility sensitivity
At a high level, vega describes how an option value changes when the volatility assumption changes.
Volatility can be the main uncertainty
For option-like payoffs, the hard question may be not direction but how wide the outcome distribution is.
Concrete example
A toy option with limited downside and large upside can be worth more if large moves become more likely, even if the average direction is flat.
Quotes should reflect volatility uncertainty
If you are unsure about the volatility assumption, use wider quotes or smaller size.
Do not claim exact vega without a model
In interview settings, it is usually enough to explain sensitivity unless the prompt gives a full pricing model.
Common mistakes
Candidates often describe vega as just risk. It is specifically exposure to changes in volatility assumptions.
Practice the pattern
Use the LeetQuidity curriculum and calibration to turn this topic into a focused practice plan.