Pin Risk at Expiry - Quant Trader Interview Question
Difficulty: Medium
Category: Options & Greeks
Practice quant interview questions from top firms including Jane Street, Citadel, Two Sigma, DE Shaw, and other leading quantitative finance companies.
Topics: options, pin-risk, expiry, market-making
Problem Description
A market maker is short 1000 call options with a strike price of 100. At expiry, the underlying asset's price is 100.01. Explain "pin risk" in this scenario and why it poses a potential danger to the market maker.
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