The correct answer is A.

Using a parametric estimation approach,

$$\text{VAR}(\alpha\%) = (-\mu_r + \sigma_r \times Z_\alpha) \times P_{t-1}$$

Where:
$\mu_r = \text{Mean (arithmetic) return}$
$\sigma_r = \text{Standard deviation of returns}$
$Z_\alpha = \text{Normal distribution parameter}$
$P_{t-1} = \text{Beginning period value}$

\text{VAR}(5\%) = (-5\% + 1.65 \times 10\%) \times 200 = \`$23` \text{VAR}(1\%) = (-5\% + 2.33 \times 10\%) \times 200 = \`$36.6`