[ONLY CALCULATIONS AND FORMULA, no need long explanations]

A bank owns a portfolio of options on an asset with a della of -30,gamma of -5. How should these numbers be interpreted? The price of the asset is 20 and the daily price change volatility is 1%. The Isserlis theorem is used to calculate the first three order moments of the change in the value of the portfolio. Combine this with the Conis-Fisher expansion to calculate separately

a) first second-order moments;

b) First third order moments are used to calculate the VaR for 90% of the 1-day look-ahead period.