If an investor was exposed to SP500 stock index and her exposure was valued at $100 million, what is the daily VaR at the confidence level of 99% (one-sided) of that position when the daily volatility is 1% (round to the nearest thousand dollars)?

Hint: A related idea of risk measurement is the "value at risk" (VaR). Instead of calculating the probability of an outcome, VaR expresses the magnitude of an extreme result happening over a short time horizon, which is often defined as events with the probability of 5% or 1% over a day or a week. For example, if an extreme market movement which would occur just once in 100 days would erode the value of a group of financial assets (a "position"), and the magnitude of such valuation loss was greater than $1 million, the VaR of that position was $1 million.