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You have 2 instruments: X in which you are quoting 35 @ 40 and product Y in which you are quoting 15 @ 30. We want to make a market on the product X+Y. What is the bid-ask spread you will quote?

Got this in an interview for a quant firm.

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  • $\begingroup$ Isn't it 35+15 @ 40+30 i.e. 50 @ 70 ? Analogy: I sell an apple for 40 and an orange for 30. How much should I charge for an apple and an orange. $\endgroup$
    – nbbo2
    Sep 28 at 17:53
  • $\begingroup$ To be honest, I’m not too sure but that was my answer as well. Wanted to see if anyone else had a different perspective. $\endgroup$
    – Kai
    Sep 29 at 13:43

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