Financial Risk Manager Part 1
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An analyst needs to calculate the Value at Risk (VaR) for a long put option position on Big Pharma, Inc.'s stock. The stock is currently priced at USD 26.00 and exhibits a daily volatility of 1.5%. The put option is at-the-money with a delta of -0.5. Using the delta-normal method, determine which of the following options is closest to the 1-day 95% VaR for this option position.
An analyst needs to calculate the Value at Risk (VaR) for a long put option position on Big Pharma, Inc.'s stock. The stock is currently priced at USD 26.00 and exhibits a daily volatility of 1.5%. The put option is at-the-money with a delta of -0.5. Using the delta-normal method, determine which of the following options is closest to the 1-day 95% VaR for this option position.
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