A portfolio manager bought 1,000 call options on a non-dividend-paying stock, with a strike price of USD 100, for USD 6 each. The current stock price is USD 104 with a daily stock return volatility of 1.89%, and the delta of the option is 0.6. Using the delta-normal approach to calculate VaR, what is an approximation of the 1-day 95% VaR of this position?
A portfolio manager bought 1,000 call options on a non-dividend-paying stock, with a strike price of USD 100, for USD 6 each. The current stock price is USD 104 with a daily stock return volatility of 1.89%, and the delta of the option is 0.6. Using the delta-normal approach to calculate VaR, what is an approximation of the 1-day 95% VaR of this position? A.USD 1,120; B.USD 1,946; C.USD 3,243; D.USD 5,406