Which of the following is true when delta, but not gamma, is used in calculating VaR for options positions? [3 marks) Select one: O a. VaR for a long call is too high and VaR for a long put is too low. o b. VaR for a long call is too low and VaR for a long put is too high. O C. VaR for a long call is too high and VaR for a short put is too high. o d. VaR for a long call is too low and VaR for a long put is too low. e. VaR for a long call is too high and VaR for a long put is too high