Question preview
Synthetic future? is a cooked quant interview question on option theory.
Join to unlock this question, detailed solutions, and our complete library of quant finance interview prep.
This fundamental options-theory question tests whether you understand put-call parity and how to use it to synthesize a forward or futures position from vanilla options. It is a mainstay of volatility trading and exotic-option desks, where the ability to decompose and reconstruct payoffs is essential.
The core insight is that a specific combination of options—chosen at a particular strike—replicates the payoff of a linear, leveraged position in the underlying. The question requires you to reason about expiry payoffs, identify which strikes and option types to use, and confirm the replication holds across all price scenarios.