I'm trying to calculate VaR for overall option positions. Currently I do a MC simulation for the underlying, and derive the theoretical value of the option from those theoretically. Then I calculate what the position is worth in relationship to the simulated underlying price. Can I then say what the VaR is from the theoretical options prices?
This is where I am now, but my VaR numbers don't seem as understandable as the plain underlying calculations. The distribution is my value of the ATM call option.