EFTA01447371

From: Tazia Smith Sent: 5/20/2014 3:20:04 PM To: [email protected] CC: Paul Morris • Nay Gupta Vinit Sahni Vahe Stepanian Subject: w: a rey - wo mon expiry Rupee option trades + historical charts Attachments: pic1S66S.gif; pic19398.gif; pic20490.gif; pic09185.gif; pic29796.jpg; pic05364.jpg; pic23148.jpg; pic15425.jpg; pic18681.jpg; pic29018.jpg; pic07434.jpg; pic14895.jpg; pic05651.jpg; pic27806.jpg; pic24009.gif; pic20880.gif; pic28503.gif; pic32224.gif; pic24857.gif; pic30628.gif; pic27984.gif; pic12944.jpg; pic14711.jpg; pic01153.jpg; pic06418.jpg; pic31618.jpg; pic12342.jpg; pic02240.jpg; pic15134.jpg; pic2C648.jpg; pic11136.jpg; pic11126.gif; pic04486.gif; pic07343.gif Jeffrey - Traders' view is that accurate history on the option itself (9mo ATM USDpINRc, for example) doesn't exist given the forward points, vol, liquidity, etc backdated inputs would not be accurate. That said, I've included the 6 and 12mo ATM USDINR implied vol history here to provide some context of historical relative value. Bloomberg is pretty accurate historically for G10 currencies, for INR it's bit off, but will give you a sense: As of 8/28/13 (USDINR high of 68.825 spot), bloomberg suggests the ATM 9mo USDcINRp would cost 5.01% (see screenshot below). Going back to 5/20/13 when spot was at it's 52wk low (rupee strength vs USD) of 55.1137, the 9mo ATM USDcINRp cost —1.65% according to Bloomberg. This compares to the present -1.3% vs. 58.60 spot that Nay laid out. 6mo USDINR AMT Implied Vol History (Embedded image moved to file: pic1S66S.gif) lyr USDINR AMR Implied Vol History (Embedded image moved to file: pi c19398 .gi f) 9mo ATM USDcINRp as of 8/28/13 = $51k premium vs. Slmm notional (Embedded image moved to file: pic20490.gif) 9mo ATM USDcINRp as of 5/20/13 = 516.6k premium vs. 51mm notional (Embedded image moved to file: pi c09185 .gi f) used with permission of Bloomberg Finance LP Forwarded by on 05/20/2014 02:03 PM CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0101980 CONFIDENTIAL SDNY_GM_00248164 EFTA01447371