An analyst gathers the following information about a 2-year European-style call option on the periodically compounded 1-year spot interest rate:

Call exercise rate 3.1000% Risk-neutral probability of an up move 50% 1-year spot interest rate at Time 0 3.0454% 1-year spot interest rate at Time 2 after two up moves occur 3.9706% 1-year spot interest rate at Time 2 after up and down moves occur 3.2542% Call option value at Time 1 when an up move occurs 0.4209% Call option value at Time 1 when a down move occurs 0.0751%

If the option is cash settled at Time 2 based on the observed rate, the option value as a percentage of the notional amount at Time 0 is closest to: