Cerra Co. expects to receive 5 million euros tomorrow as a result of selling goods to the Netherlands. Cerra estimates the standard deviation of daily percentage changes of the euro to be 1 percent over the last 100 days. Assume that these percentage changes are normally distributed. Use the value-at-risk (VaR) method based on a 98 percent confidence level.

What is the maximum one-day percentage loss if the expected percentage change of the euro tomorrow is 0.5 percent?

A) -2.2%

B) -0.5%

C) -1.46%

D) -1.2%