A risk manager is evaluating the impact of using the delta-normal model in calculating VaR for the following two positions:

• A long position in a 6-month call option on 10,000 barrels of West Texas Intermediate crude oil (WTI) with a strike price of USD 85 per barrel
• A long position in futures contracts to purchase 10,000 barrels of WTI in 6 months at a price of USD 85 per barrel

The current spot price of WTI is USD 84.50 per barrel. In assessing the 1-day 95% VaR of the two positions, which of the following is correct?