An investor is long a short-term at-the-money put option on an underlying portfolio of equities with a notional value of USD 100,000. If the 95% VAR of the underlying portfolio is 10.4%, which of the following statements about the VAR of the option position is correct when second-order terms are considered?
A. The VAR of the option position is slightly more than USD 5,200.
B. The VAR of the option position is slightly more than USD 10,400.
C. The VAR of the option position is slightly less than USD 5,200.
D. The VAR of the option position is slightly less than USD 10,400.