German buyer for 10,000,000, payable in six months. The current spot exchange rate is $1.05/ and the six-month forward exchange rate is $1.10/. Mr. Fulton can buy a six-month put option on euros with a strike price of $1.08/ for a premium of $0.01 per euro. Currently, the six-month euro interest rate is 4% per annum and the six-month USD interest rate is 5% per annum.

At what future spot exchange rate do you think Mr. Fulton will be indifferent between the option and money market hedge?