The question is the Value At Risk in each time horizon and the likelihood that a correlation breakdown will push this still higher. If you know where your stop is, then barring scenarios of limit-up/limit-down, I would think it reasonable to cap the position Value At Risk as the OTM loss plus the slippage from a robust execution model. I haven't seen this written about.
I thought about it some more, and no, capping the position Value-At-Risk isn't going to be reflected in the correlation matrix and not in the portfolio Value-At-Risk. To deal with contingent orders, one needs to model the portfolio and use stochastic integration methods (Monte Carlo). For example, http://www.riskglossary.com/link/monte_carlo_transformation.htm