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N22Only calculations, do not need explanations. Short calculation + formula Consider a portfolio of options on an underlying asset. Assume that the delta of the

N22Only calculations, do not need explanations. Short calculation + formula

Consider a portfolio of options on an underlying asset. Assume that the delta of the portfolio is 12 and the price of the underlying asset is $10.

What is the delta relative to the percentage change in the volatility of the underlying asset's daily price change of 2%? Estimate from the delta the 95% VaR of the portfolio for a 1-day rollover period.

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