EFTA01447400

From: Nav Gupta Sent: 5/21/2014 6:29:58 AM To: [email protected] CC: Paul Morris Tazia Smith Vinit Sahni Subject: Re: Jeffrey - Rupee Appreciation - Nav Attachments: pic11466.gif; pic26229.gif; pic27859.gif Jeffrey We don't have the tools in place to graph FX option prices historically. I am figuring out how we can build it for you over the weekend. Nay From: "Jeffrey E." <[email protected]> To: Cc: Date: 20/05/2014 17:22 subject: Re: Jeffrey - Rupee Appreciation - Nav can you send me a chart of where this has been over the past 6 months? thaks On Tue, May 20, 2014 at 9:49 AM, Nav Gupta wrote: Jeffrey After pricing lots of possibilities, are two ways i like best to play usdinr lower 1) b uy vanilla European style USDINR puts Ref spot: 58.67 (Embedded image moved to file: pic11466.gif) This table has 9 offers in %notional: lm 3m and 6m expiries for spot, spot-1%, spot-2% Of these I like 6month ATMspot USDINR European style put offered at 1.19%. The roll in the forwards offsets some of theta which is why the 3mth ATMspot put costs a similar (1.07%) amount 2) Buying vanilla European style out-of-the-money USDINR puts, funded by selling OTM calls on USDINR 6month expiry spot ref 58.67 Buy USDINR put strike 58.08 (ATMspot -1%) sell USDINR call strike 64.18 (ATMspot +9.4%) Net upfront premia zero I see from your last msg you want 9months. I'll price those and get back to you. Nay CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 102022 CONFIDENTIAL SDNY_GM_00248206 EFTA01447400