Sizing for an event day

On an ordinary day a stock's daily volatility is 0.9%. Tomorrow is a scheduled event; the options market implies a one-day standard deviation of 3% (M09A shows how). A trader with a risk budget of ₹50,000 uses a 2% stop. (a) Assume the event-day move is $N(0,(3\%)^2)$ and occurs as a jump at the open. Compute the probability that the stop is jumped (the move exceeds 2% against a long), and the expected loss beyond the stop per rupee of notional, $\mathbb E[(-X-0.02)^+]$. (b) Compare the ordinary notional (risk budget / stop) with a notional sized so that a three-standard-deviation event move loses the budget. (c) Name a contract-based alternative to shrinking the position.