Given the relevant yield of 6.2% relative to the Treasury yield of 3.9%, the spread on the bonds is 2.3% (= 6.2% − 3.9%). This is greater than the strike spread of 1.9%, so the option is in the money.
The option value is Max (0, 0.023 − 0.019)(3.2)(10,000,000) = $128,000
