7/29/2019 Trader Interview Questions

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1) The FESX is the future on the EuroSTOXX 50 Index. Suppose that there are no dividends in the

period until expiration. Do you expect the price of the EuroSTOXX 50 future to be below or above

the index level and can you explain why?

2) If we do expect a dividend in the period until expiration, how would that affect your answer on the

first question.

3) If an arbitrage is done between the indexvola and the vola of individual stocks, which parameter

will determine most of the PL?

4) Which implied parameter do you trade if you trade options in the ADR of a stock and trade the

stock in Europe?

5) What dollar trade would you do if you buy ADR, sell Europe ?

6) What are the risks in a position ADR long, Europe short?

7) What is the PL of a position call long + stock short when we continually hedge and the stock risesfrom 5 to 15 and vola remains at the paid implied. Positive, 0, or negative?

8) Explain how you can determine the forward currency price if you have de intrest rate of both

currencies?

9) Can you give some examples of reasons that could determine the structure of commodities futures

with different expiration months?

10) What is the name of two different common structures for different commodity future expiration

months?

11) What are the drivers of the difference in interest rates across currencies?

12) If a portfolio is constructed, what parameters are the drivers for determine the weight of different

assets, and why?

13) How can a central bank influence the total money supply and what will be the result of different

choices?

14) Suppose: close price is 10.0. A right is issued for 5.0 1:1. What is the corrected closeprice/theo

opening?

15) A few months ago the long-term oil futures were priced much higher than the short term. How can

you profit from this?

16) What is the key idea that makes the Black-Scholes option pricing model work?

17) Could you describe the GARCH model?

18) Please explain the difference between a stochastic differential equation and a ordinary differential

equation.

7/29/2019 Trader Interview Questions

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