First, determine the overall delta of the portfolio:

• Deep in-the-money call options have a delta of approximately 1. (5,000 × 1 = 5,000)
• Deep out-of-the-money call options have a delta of approximately 0. (20,000 × 0 = 0)
• Forward contracts have a delta of exactly 1. (10,000 × 1 = 10,000) The total portfolio delta is 15,000.

Next, compute the dollar exposure of the position: Portfolio Exposure = 15,000 shares × USD 52/share = USD 780,000.

Then, convert the annual volatility to daily volatility: Daily volatility = 12% / √252 ≈ 0.007559.

Finally, calculate the 1-day 99% VaR using the standard normal deviate for 99% (Z ≈ 2.326): VaR = USD 780,000 × 0.007559 × 2.326 ≈ USD 13,715.