A trader has an option position in crude oil with a delta of 100,000 barrels and gamma of 50,000 barrels per dollar move in price. Using the delta-gamma methodology, compute the VaR on this position, assuming the extreme move on crude oil is $2.00 per barrel.
A trader has an option position in crude oil with a delta of 100,000 barrels and gamma of 50,000 barrels per dollar move in price. Using the delta-gamma methodology, compute the VaR on this position, assuming the extreme move on crude oil is $2.00 per barrel. A.$100,000; B.$200,000; C.$300,000; D.$400,000