Q.24 An investment bank decided to open a position in the shares of ALNY’s stock. The position will be opened by buying 5,000 out-of-the-money call options with a strike price of USD 350. At the moment, the stock is trading at USD 300. The annual volatility of the stock’s return is 30%, and the delta of the option is 0.3. What is the daily VaR for this position at a 1% significance level, assuming 252 trading days in a year?