"We are going to play a game. I will pay you $1 for every pip on a standard, fair die (interviewer pulls out die) - how much would you pay to play that game once? How about 1000 times? How about if we wrote a computer simulation to play that game 100 million times?" Follow up: "How about now each 'game' is defined as rolling the die twice - you can choose whether to take the first roll, or roll again. Explain your logic to play the game optimally and how much would you pay to have your logic play the simulated game 100 million times? There are a lot of expanded questions from here depending on how a candidate is doing and how much options knowledge they advertise in their resume/experience - "How much would you pay for the 4-pip call option on the game where you roll twice? How about the 2-pip put? Make me a two-sided market in the fence (or collar, risk-reversal, etc). I have also seen interviewers add in a coin flip interaction where after you play the game, you flip a coin just to add another layer of calculation and check for understanding of the asymmetries of options trading e.g. "Now after we've rolled, we're going to flip a coin. Tails, the payoff is half the number of pips, heads and you get double the payoff." How much would you pay now to play the game?