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VaR of Put Option: FRM Q&A (Valuation: VaR)

You are asked to estimate the VaR of an investment in Big Pharma Inc. The company's stock is trading at USD 23 and the stock has a daily volatility of 1.5%. Using the delta-normal method, what is the 1-day (holding period) 95% confident VaR of a long position in an at-the-money put on this stock , if the put has a delta of -0.50? Bonus: what is the put option's 10-day VaR?
Length: 08:38

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