1. Assume a volatility of 0:015 per calendar day for option pricing and a volatility of 0:015

p 365=252 D 0:0181 per trading day for return volatility. Calculate the delta and gamma of a short position of one option. Do this for every option in the sample. Calculate the deltabased portfolio variance for each option and the 10-trading-day (that is, 14-calendar-day)

1% delta-based dollar VaR for each option.