One Interview Question for Job Seekers in Finance

I presented in an earlier post that I was mostly disillusioned with interview questions, it’s better to find out if you can learn something out of a candidate.

Well there is maybe one very simple question that could be revealing, for people who pretend to be vaguely familiar with Black-Scholes:

What is the price of an at-the-money binary option under very high volatility?
Alternatively it can be asked with just an at-the-money european option under very high volatility.

What makes think of it is that some “product manager” recently tested risk with volatilities at 300% and was wondering why they did not see any vega (based on a 1% additive shift), and opened bugs, generated noise…

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