# Delta-normal VaR of portfolio of stock and call option

I have to calculate the 10-day 99% VaR of a portfolio that consists of a portfolio of 260 stocks of a company $$K$$ and that is short 500 call (European) options of the same company.

I know that the stocks currently have a value of €73.35, its annual volatility is 17.12% and the call options have a delta is 0.6.

I can compute the VaR of a portfolio of options but I'm a little puzzled how I can do this when we have a portfolio of a stock and an option

• The delta equivalent position in the stock is 260+0.6*(-500) = -40 shares of stock. Now find the VaR of this position. – noob2 Jun 29 '20 at 19:00