A portfolio consists of options on three stocks, A, B and C. The details are as

follows:

StockA StockB StockC

Option delta 0.6645 -0.5546 -0.6725

Number of options 210 125 118

Stock Price(S) 55.25 32.75 66.14

Daily Volatility 0.018 0.012 0.026

The correlations in returns among the three stocks are:

AB = 0.35, AC= 0.66, and BC = 0.48.

Please calculate the 10-day, 98% VaR for the three option positions separately and

for the portfolio as a whole. How much is the diversification benefit?