An analyst values a 2-year European-style put option where the underlying is the periodically compounded 1-year spot interest rate. The notional amount of the option is $1 million, and the put exercise rate is 3.5% of par. The risk-neutral probability is 5.0% and these options cash settle at time step 2 based on the observed rates as shown in the exhibit below.

At time step 0, the value of the interest rate put option is closest to: