If the delta of an option is 0.6 and the volatility of the underlying is 30%, what is the 5% value at risk of the option?
The correct answer is: 0.2961
The volatility of the option is given by:
OPTION= delta x UNDERLYING
= 0.6 x 0.3 = 0.18
The 5% value at risk (VAR) is
VAROPTION= 1.645 x volatility of the option
= 1.645 x 0.18 = 0.2961
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OPTION= delta x 
UNDERLYING
