If i buy a ed futures call option at 99.25 for $750 and libor is at .50% a price of 99.50 my option would be 25 bps in the money. Suppose rates fall to .25% a price of 99.75. I would think this puts the option 50bps in the money for a gain of $500(50bpsx$25=$1250 -$750cost=$500profit). However the gain is less if i sell because the option delta is less than 1 at purchase. I understand this but intuitively I think just exercise the option at 99.25 and sell a ed future at 99.75 to offset and lock in the 50bps and still keep the entire $500. Yet in my head the values should be equal. I should be indifferent to whether i sell the option or exercise. What am I missing? Your help is greatly appreciated.