Question: Question 2 (10 points) A trader has a long position in at-the-money calls (strike = price today) on a position in stock. The total position

Question 2 (10 points) A trader has a long position in

Question 2 (10 points) A trader has a long position in at-the-money calls (strike = price today) on a position in stock. The total position in stock (price of all shares ) is 1 Million. Volatility of the stock is 25 percent (yearly). Roughly, what is the daily VaR at 95 percent confidence level? Assume that there are 365 days in a year

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