You are analyzing an equity position of 100,000 shares in an illiquid, non-public stock which has a current price of USD 44.00 per share. The estimated daily return volatility is 80 basis points (0.80%). The bid-ask spread is USD 0.11. If you assume the daily expected return is zero and the bid-ask spread is constant, which is nearest to the one-day 95% liquidity-adjusted value at risk (VaR)?

Group of answer choices

$38,500

$57,780

$63,400

$49,250