A financial institution owns a portfolio of options on the U.S. dollar-sterling exchange rate. The delta of the portfolio is 62 . The current exchange rate is 1.56 . Derive an approximate linear relationship between the change in the portfolio value and the percentage change in the exchange rate. If the daily volatility of the exchange rate is 0.76% , estimate the 10-day 99% VaR.

5.61

5.41

5.8

6