NO.PZ2023091701000091
问题如下：
A trader has an option position in crude oil with a delta of 100000 barrels and gamma of -50000 barrels per dollar move in price. Using the delta-gamma methodology, compute the VaR on this position, assuming the extreme move on crude oil is $2.00 per barrel.
选项：
A.$100,000 B.$200,000 C.$300,000 D.$400,000解释：
