31 questions reported in Citadel Securities interviews, organised by the group that asks them. Every question carries a model answer and graded feedback on your own attempt.
Questions
Easy · Medium
Hard
Model builds
Built in the spreadsheet grid
Expected value under pressure, adverse selection and inventory risk. 10 questions
A first-round market-microstructure check for candidates new to electronic trading.
A stock is quoted at $49.98 bid and $50.02 offer. You want to buy 1,000 shares now. Explain the difference between sending a market order and a limit order at $50.00.
A first-round electronic-trading screen checks that a candidate can read a two-sided market precisely.
An ETF is quoted at $101.20 bid and $101.28 offer. What are the mid-price and bid-ask spread? If you buy 500 shares at the offer and immediately value them at the mid-price, what is your…
An execution-trading interview checks that a candidate can reconcile fills before offering an opinion on execution quality.
You buy 1,000 shares in three fills: 200 at $24.90, 500 at $25.00 and 300 at $25.10. What is your VWAP? If the arrival mid-price was $24.95, what was your implementation shortfall in dollars before…
A prop-trading technical round checks whether you can construct a hedge from payoffs rather than memorise Greeks.
A stock is $100 today. Tomorrow it will be either $120 or $90. A call with a $100 strike pays $20 in the up state and $0 in the down state. How many shares hedge one short call in this one-period…
Options market making interviews probe what you do when you cannot hedge continuously.
You're short gamma into the close, with earnings after the bell. What are your options, and what do you do?
A senior prop-trading case tests how you turn fill data into a controlled quoting decision.
Your ETF market-making strategy earns the spread on most fills, but over the past week your fills lose 4 basis points on average after one second. Volatility and displayed spreads are unchanged. What…
Electronic market making interviews test whether you understand the microstructure you'd trade in.
Why does latency matter to a market maker, and what is queue position worth?
Tests whether you reason about why a bet is being offered, not just its expected value.
I offer you a bet: I roll a fair die, and if it comes up 6 I pay you $10; otherwise you pay me $1. Do you take it? How much would you pay for the right to play 100 times?
The core mechanic of market making, tested with a live scenario.
You're making a market at 99 / 101 in a contract. You get hit on the bid three times in a row and are now long 300 lots. What do you do with your quote?
A systematic-trading review after a research backtest appears to generate alpha around splits, special dividends and index changes.
A daily equity signal shows a sharp return improvement after a new corporate-action vendor feed is added. The gain is concentrated around special dividends, rights issues and spin-offs. How would you…
Market impact, liquidity provision, borrow and event flow. 9 questions
A first-round equities question that checks whether a candidate understands the basic choice a client makes before trading.
A stock is quoted at $49.90 bid and $50.10 offer. Explain the difference between a market order and a limit order. Which would you use to buy 5,000 shares now, and which would you use if you refuse to…
An equity-operations fundamental used to test whether a candidate understands that execution and settlement are separate events.
You sell 10,000 shares on Monday but your custodian cannot deliver the shares on settlement date. What has happened, what are the likely consequences, and what would you do first?
Common in execution services, and in any conversation about market structure.
A client needs to sell 2 million shares of a stock that trades 500,000 shares a day. Walk me through how you'd approach the execution and the trade-offs involved.
Central to any market-making interview at a prop firm or bank.
You're making a market in a stock. What determines the width of your bid-ask spread? A large institutional client asks for a two-way price in size. How does that change your quote?
An offer-ready equities-volatility case that tests event-risk arithmetic, distribution thinking and disciplined trade selection.
A $100 stock reports earnings tomorrow. The at-the-money straddle costs $8, implying an approximately 8% move, while the stock's last eight earnings moves were 3%, 4%, 5%, 6%, 7%, 9%, 12% and 15%.…
Asked at market makers and any desk touching ETF flow.
How does an ETF stay close to its net asset value? What happens when it doesn't?
A market-structure case for an equities trader responsible for risk when displayed liquidity vanishes during a fast market.
You are long 300,000 shares of a $30 stock after a client block. Mid-session, news hits and the stock falls 9% in seconds, triggering a volatility halt. Before the reopening auction, the indicative…
A live-desk judgement case for candidates expected to reason about closing liquidity, client constraints and adverse selection.
At 3:55pm, a client must sell 500,000 shares at the close. The stock normally trades 2 million shares per day, but the auction imbalance is already 900,000 shares to sell and the indicative match…
An offer-ready market-structure case for desks that execute index flow and closing-auction risk.
A stock is being added to a major market-cap-weighted index at the close. Passive funds tracking the index must buy an estimated 8% of average daily volume. How would you expect the stock and its…
Greeks, skew, hedging costs and payoff construction. 6 questions
A desk arithmetic check after a candidate explains delta conceptually.
A dealer has sold 100 call-option contracts. Each contract covers 100 shares and each call has a delta of 0.60. How many shares should the dealer buy or sell to be delta neutral? If the stock rises…
Volatility desks use this to test whether candidates understand what an option seller is actually betting on.
A dealer sells a one-month at-the-money straddle at 30% implied volatility and delta-hedges it daily. Realised volatility over the month is 20%, with no jump large enough to disrupt hedging. Did the…
Standard for derivatives desks and quant trading interviews.
Name the inputs to the Black-Scholes model and the direction each moves a call option's price. Which input is not observable, and what does that imply?
Market-making interviews will push hard on gamma.
Define delta and gamma. You are short a straddle and delta-hedged. Explain what happens to your position as the underlying moves, and what you're actually long or short.
Volatility desks ask this after the skew question.
Implied volatility differs across expiries as well as strikes. What does an upward-sloping vol term structure mean, and what does it mean when it inverts?
Volatility desks ask this to see whether you understand the market, not the model.
Equity index options show higher implied volatility for downside strikes than upside. Explain why the skew exists and what it tells you about the market's assumptions.
Spread decomposition, liquidity, index arbitrage and dealer inventory. 2 questions
This tests practical market judgement: preserving information and execution quality matter as much as the directional view.
A portfolio manager needs to sell $40 million face value of a corporate bond that normally trades only $5 million clips. How would you execute without unnecessarily moving the market?
The structural fact that shapes every credit trading desk.
A single company might have twenty bonds outstanding while it has one common share. What does that do to liquidity, and how has the market adapted?
Multiple testing, out-of-sample discipline, capacity and decay. 2 questions
Tests recursive reasoning. A staple at trading firms.
You roll a fair six-sided die. You may either take the value shown in dollars, or re-roll. You get at most two rolls total. What is the expected value of the game if you play optimally? Then: what if…
Systematic trading interviews use this to test whether you can reason about strategy economics.
A strategy makes 250 trades a year, wins 55% of the time, and wins and losses are the same size (1 unit). Estimate the annual Sharpe ratio. What does this tell you about how much edge a systematic…
Duration, curve trades, auctions, basis and central bank reaction. 1 question
A staple opener in sales & trading and macro interviews.
Explain what the yield curve is and what an inversion means. Why has inversion historically preceded recessions, and what are the limits of that signal?
Stochastic calculus, VaR and expected shortfall, and model limitations. 1 question
A derivatives-risk interview uses this to test whether you recognise nonlinear exposures before discussing a VaR number.
A book is delta-neutral at the start of the day. Why can it still lose heavily after a large market move? Explain the role of gamma, volatility and hedging liquidity.
Write your answer, get it graded on technical accuracy, completeness and communication, and see exactly which mechanic you missed.
Company tags reflect where a question type is commonly reported in interviews. They are not sourced from, endorsed by, or affiliated with Citadel Securities.