Question 2. Valuation and Risk Models A portfolio maneger bought 1,000 call option on a non-devidend-paying stock, with a strike price of USD 100, for USD 6 each. The current stock price is USD 104 with a daily stock return volatility of 1,89 %, and the delta of the option is 0.6. Using the delta-normal approach to calculate VaR, what is an approximation of the 1-day 95% VaR of this position? A A. USD 112 B B. USD 1,946 C C. USD 3,243 D D. USD 5, 406 ​