Harold owns 10,000 shares of IBM at $54.50 per share. He writes $55 strike covered call on all the shares. Assume = 0.14, ? = 0.18, rf = 0.04, and the options expire in 90 days
What is the value at risk for 1 day, using the delta approximation at a 95% confidence level?
A) $4,717
B) $5,717
C) $6,717
D) $7,717
A
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