Matt owns 5,000 share of Matrix at $52.50. To arbitrage this he shorts 5,000 calls and longs 5,000 puts at a strike of $50.00. Assume = 0.16, ? = 0.30, rf = 0.06, and the options expire in 170 days

What is the value at risk for 1 week at a 95% confidence level?
A) $0
B) $16,433
C) $18,433
D) $20,433


A

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