How to compute the historical VaR for a portfolio with long and short positions?

Hi I think that if you buy dec contract and sell the same contract for the same quantity, but with a different Trade Price, you still have an exposure, so your P&L can be affected.So your VaR is not zero.

I must say that I'd advise you not to use this kind of concepts if you don't really understand what VaR is and how it should be used, which seems to be the case here.

In short, if you bought and sold the same amount of the same contract then obviously you are not exposed to market risk anymore. So intuitively you expect you risk (and hence your VaR) to be 0.

However, this doesn't mean that you can net the VaR of different position in all cases. In fact you can't most of the time when you're not talking about the same asset. The reason is simply that correlation gets in the picture. What you need to do is to consider your global portfolio and estimate VaR from historical results.