Greeks interview questions — how to reason about your book

Greeks questions are the single most common opening in a markets interview, and they are deliberately short. "Your book is flat delta, long gamma. Spot gaps 5%. Where are you?" There is no time to write anything down. What the interviewer wants to see is a reflex, not a derivation.

Almost every candidate who struggles does so for the same reason: they reach for the formula instead of the meaning. Below is the reasoning order that makes these questions fast.

Step 1 — Say the sign before the number

Get the direction right first, out loud. Long gamma means your delta moves with the market: you get longer as spot rises and shorter as it falls, so a big move in either direction helps you. Short gamma is the mirror image and is why short-option books bleed on gap days.

The same discipline applies everywhere. Long options are long vega and short theta — you own volatility and you pay rent for it every day. Short options collect the rent and hate the movement. If you state the sign confidently, you have already answered most of the question; the magnitude is arithmetic.

Step 2 — Nail the units, because this is where people fall

This is the most common trap in the whole topic. A greek quoted per share and a greek quoted in cash are different animals, and desks quote in cash.

Cash gamma is conventionally expressed as how much your cash delta changes for a 1% move in spot. So if you are told gamma is 1M and spot moves 5%, the delta change is five times the 1% number — not one twentieth of it. Candidates who multiply by 5% instead of by 5 get an answer that is off by a factor of 100, and interviewers notice immediately.

Before answering, ask yourself: is this number per share, per contract, or in currency? If the interviewer has not said, asking is a good signal, not a weak one.

Step 3 — Use the limiting cases as a sanity check

The best candidates verify their answer by pushing an input to an extreme where the answer becomes obvious:

• Volatility to zero. The option becomes a pure bet on whether spot is above or below the strike. Anything out-of-the-money is worthless and has essentially no sensitivity left.
• Time to zero. Value collapses to intrinsic. Delta goes to 0 or 1, and gamma explodes right at the strike — which is exactly why traders fear pin risk on expiry day.
• Deep in-the-money. The option behaves like the underlying itself: delta near 1, almost no gamma, almost no vega.

If your answer survives all three, it is almost certainly right. If it contradicts one, you have found your own mistake before the interviewer did — which is itself worth points.

What separates a good answer from a great one

A good answer gives the right number. A great answer says what you would doabout it. "I am now long 5M of delta I did not ask for, so I would sell the underlying to get back to flat, and I would rather do it into strength than chase it." That sentence tells the interviewer you have thought about hedging, execution and P&L, not just calculus.

Practise out loud. These questions are asked verbally and scored on fluency, so the gap between "I know this" and "I can say this in ten seconds" is the entire interview.