Harold Owns 10,000 Shares of IBM at $54

Multiple Choice

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,σ = 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