Had a Jane Street interview in 2019.
Round 8. Interviewer texts: 'Equinox Brookfield. 6 AM. Bring a calculator you won't use.'
I show up. He's on the StairMaster reading a printout of the CBOE VIX term structure.
Doesn't get off. Nods at the machine next to him.
'You see that guy on the rower? Goldman MD. Comes here every morning at 6:04. Leaves at 6:38. What's the implied vol on his arrival time?'
'I don't know his variance.'
'Sample size of one year, 250 sessions. Standard deviation is 90 seconds. Annualize it.'
I do the math in my head. '90 seconds times sqrt(250). About 24 minutes annualized.'
'Wrong. You annualized like it's a return. Time-of-arrival doesn't compound. It's a Poisson process with drift. The correct answer is his arrival is more punctual than the 6 train. Now price me an option on whether he shows up tomorrow.'
I think for a second. 'If he's been here 250 days in a row, base rate is 99.6%. But you have to adjust for his vacation schedule and probability of injury, call it 96%.'
'Strike?'
'$10 if he shows, $0 if he doesn't.'
'I'll sell you that option for $9.40.'
I think about it. 'No. Expected value is $9.60. You're underpricing by 20 cents.'
'Correct. Now why am I selling it to you?'
I freeze.
'Because I just saw him limp on the way in. You're buying my information for 20 cents. You overpaid.'
We get off the machines. Walk to the smoothie bar. He orders a $19 smoothie, doesn't drink it.
'Last question. The girl behind the counter makes 200 smoothies per morning. She has perfect information on who's actually here and who's faking it. Citadel guys leak their attendance to her every day for the price of a tip. If I gave you $50,000 to set up a market on which Citadel PM gets fired this quarter, what's your bid-ask?'
'Insider trading.'
'Wrong answer. There's no public security. Try again.'
I think. 'I'd quote 8 to 12 percent on any given PM. Spread of 4 points to cover adverse selection. Tighten the spread for PMs I have data on.'
'Where do you get the data?'
'The smoothie girl.'
'Good. How much do you pay her?'
'10% of P&L.'
'Wrong. You pay her a flat $200 a week. If you pay her on P&L she becomes your counterparty. Right now she's your data source. Don't conflate edges.'
He hands me the untouched smoothie.
'Throw this out on Vesey Street, not in the building. The staff knows what gets wasted. Outside, it was consumed. Same smoothie, different signal.'
I do it.
Thursday I get the email.
'Offer rescinded. Your bid-ask on the PM market was too tight. 4 points doesn't cover the tail. The girl is a single point of failure and you didn't price her counterparty risk. Also you held the smoothie in your right hand. Right-handers throw with their right hand. Camera saw the hesitation.'
Jane Street made ~$40B in 2025 with 3,500 employees, a ~2x from the year before.
At ~65-70% profit margin, that's $8M profit / employee, the highest for a 1000 ppl company. High-frequency trading continues to be the most efficient money making engine.
I want to share an old story about my Jane Street interview in 2014. Jane Street was known for hiring a lot of math, physics and CS olympiad winners from top universities and putting them through many rounds - including, for trading roles, a gauntlet of mental math. It was my 6th interview and my final round and I recall being asked "What is the next day after today in DD/MM/YYYY where all the digits are unique?" They'd toy with you and say "You can use a pencil and paper, if you want" but you knew that was an instant no. Painstakingly and as quickly as I could, I came to an answer. "How confident are you that this is correct on a 0-1 probability scale?" the interviewer said. "0.95", I blurted out, not fully knowing how to answer that. "Are you sure?" After thinking harder for a few more seconds, I realized I could've flipped the digits around to get a closer date. I gave the interviewer my answer. It was correct. "0.95 huh?" he chuckled. That's when I knew I failed.
Note: fwiw, other companies that come close in efficiency are
- Tether ($90M profit/emp)
- Hyperliquid ($80M profit/emp)
and on revenue:
- Valve ($50M/emp)
- OnlyFans ($37M/emp)
- Craigslist ($14M/emp)
- Anthropic ($12M/emp, run rate)
- OpenAI ($8M/emp, run rate)
For comparison, Nvidia is very efficient at scale and is $4.4M/emp.