Awan Co (12/13)

Dear Sir,

In the Awan Co, Part a, the working for option on future is as below:

If interest rates increase by 0.9% to 4.99%
Exercise price 94.5
Future price 94.55
Exercise? Yes
Gain in basic point 5
Underlying investment return 766,400
Gain on options (0.0005 x 2,000,000 x 3/12 x 32) 8,000

In my opinion when we know we exercise this option, we use the exercise price to calculate the return (100%-94.5%) x 2,000,000 x 3/12 x 32 = 880,000. I am confused on the different result and why we don’t use the exercise price to calculate return in this case?

Thanks,
DT