Delta-normal value at risk (VaR, FRM T4-3)

[my xls is here trtl.bz/2Rfghk0] If you are a new student to risk measurement, and especially if you are a Part 1 FRM candidate, our video is especially important because it describes a foundational idea that is applicable across asset classes. This video illustrates exactly what we mean by the delta-normal approach to value at risk.
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[@vvvolkov]

"Sensitivity, ratio" in video is Macauley duration. Modified duration = Macauley duration/(1+ytm/2) for semiannual compounding. Perhaps in this video continuous compounding is used for the calculations but in such a case they just say "duration", not "modified duration", because Macauley and modified duration are equal.

[@darkmatter4768]

Var calculation for option by Full valuation method please

[@santoshsingh5656]

here you are assuming stock price is normally distributed.But you have said earlier that stock price are lognormally distributed. Is this an error