The following formula is used to calculate the VaR for a linear derivative: $\text{VaRp} = |\Delta| * \text{VaR}_f$ The delta in the formula is a sensitivity factor that reflects the change in value of the derivatives contract for a given change in the value of the underlying. The delta adjustment to the VaR of the underlying asset accounts for the fact that the relative changes in value between the underlying and the derivatives may not be one for one but nevertheless are linear in nature. Note that options are non-linear.