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 1.25 percent over the last 100 days. Assume that these percentage changes are normally distributed. Use the value-at-risk (VAR) method based on a 95% confidence level for the following question(s). Refer to Exhibit 10-1 above. What is the maximum one-day loss if the expected percentage change of the euro tomorrow is 0.5%?

a. 0.5% b. 1.6% c. 2.2% d. 1.2%