59. Revised Question

A portfolio manager is managing a diverse set of options and forward contracts for a non-dividend paying stock identified as TUV. The portfolio includes:

• 5,000 deep in-the-money call options for TUV,
• 20,000 deep out-of-the-money call options for TUV,
• 10,000 forward contracts on TUV.

The current price of TUV stands at USD 52. The portfolio operates within a trading year consisting of 252 days, with an annual volatility rate of 12%. Each option and forward contract is tied to a single share of TUV.

In light of this information, which of the following values would closely approximate the 1-day 99% Value at Risk (VaR) for the portfolio?