You estimate the standard deviation of daily returns for XYZ Corp.’s stock at 2.00%.

XYZ does not pay a dividend. You own a put option and a call option on XYZ, both with one year to expiration and a strike price of $105. The delta of the call is 0.50 and the underlying price is $100. Calculate the one-day 95% daily VaR for each security and for the portfolio as a whole using the delta-normal approach. Assume theta is zero for both options (for long-dated options this may not be an unreasonable approximation).