What is the 5-day var of the short puts position

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A portfolio managers at a big-shot hedge fund is considering shorting 100 put contracts (10,000 options, as there are 100 options per contract) and his Black-Scholes-Merton valuation software shows N(d1) = 0.62 and gamma = 0.017. The 1-day 99% VaR on a single share of the underlying non-dividend-paying stock is $5.08. Assuming i.i.d. returns, what is the 5-day 99% VaR of the short puts position?

Enter you answer rounded to whole dollars, i.e. don't bother with cents.

Reference no: EM133111045

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