The Henry Hub natural gas futures contract trades trades on NYMEX, a unit of the CME Group. The underlying asset for each contract is 10,000 million British thermal units. (The abbreviation for million British thermal units is mmBtu.) Price quotations are in U.S. dollars and cents per mmBtu. The underlying asset is deliverable. Trading of any delivery month ceases three business days before the first day of the delivery month.

You have the following market data. Today is three months before the delivery month of the August natural gas futures contract. (Hence, let T = 3/12 years.)

• The spot price of natural gas is $3.416 per mmBtu.
• The futures price of natural gas for August delivery is $2.626 per mmBtu.
• Suppose that storage costs for the next three months are $0.03 per mmBtu, payable in arrears.
• The continuously compounded three-month risk-free rate (LIBOR) is 2.25% per year.

What is the no-arbitrage value per mmBtu for this futures contract?