Case: Today is April 30th, 2020, and a trader sold 100,000 European call options on the SPY ETF with an exercise price of $310, expiring on June 30, 2020. The trader was able to write these options for $3.80. Additional Information: Suppose that the SPY obeys to a GBM process under risk neutral probability, such that (1) S = Six exp (6 - )=+oB) where S, is the SPY price at time t, r is the risk-free rate, and o is the volatility of the index. Assume that r=0%. Since the option price is $3.8, the trader was able to reap $380K by selling these options. Consider the case in which the trader does not delta-hedge. What is the 99% VaR of her P&L? Report your answer in $1K units. Does this number make sense? Elaborate. Note: You will need to simulate the price at maturity to determine whether the trader needs to deliver the option or not. If yes, the trader will need to buy high and sell low, hence, absorbing a cost. His P&L will depend on how much in-the-money the option is. The price of the underlying asset is $290.48 The implied volatility is 22.29% Time is .16667