Summer Analyst

Got the first round interview through OCR after a resume drop with cover letter. It was two guys, both seemed fairly nerdy and Eastern European. They started out by asking me to walk them through my resume, and then stating which internships I liked the least and which I like most. They asked about a line item where I said "conducted analyses" which was a fairly empty line-item. I articulated it was along the lines of calculating greeks and the volatility skew (I had very limited exposure to trading over two summers ago.)

They asked me to explain what delta was, and then followed up with "What happens to delta when vol goes up?" It varies, depending on how in the money and out of the money the option is.

They asked me to articulate what would happen if the Fed cut rates.

Next, they gave me a brain teaser about expected value and rolling dice - I've copied and pasted it from another source: "You have the option to throw a die up to three times. You will earn the face value of the die. You have the option to stop after each throw and walk away with the money earned. For example, if I throw the die once and a 2 shows up, I earn 2 dollars or throw again. If a 3 comes up after the second throw, I earn 3 dollars and if I want to stop I can or I can throw a third time. The earnings are not additive, so my total earning is just the 3 dollars I got on the last roll. What is the expected payoff of this game?"

They asked me what desk I would want to be involved with.

I closed with asking their opinion on interns, do they find them annoying or helpful. Their reply was "Annoying as fuck. They usually hover around and don't do anything or ask really stupid general questions." I asked "How could I be a not annoying intern?" They replied with "have a sweet project, kill it, know when you can interrupt and when you can't."