Calculation: VaR(99% of Call) = D × index price × conversion × alpha(99%) × 1-day volatility

Given:

• D (delta) = 0.5
• Index price = 2200
• Conversion factor = 10
• Alpha(99%) = 2.33
• 1-day volatility = 2.05%

VaR = 0.5 × 2200 × 10 × 2.33 × 0.0205 = 0.5 × 2200 × 10 × 2.33 × 0.0205 = 525 (approximately)

The solution states: "VaR(99% of Call) = D × index price × conversion × alpha (99%) × 1-day volatility = 0.5 × 2200 × 10 × 2.33 × 2.05% = EUR 525, with some slight difference in rounding." This confirms option D is correct.