Case File
efta-01461666DOJ Data Set 10OtherEFTA01461666
Date
Unknown
Source
DOJ Data Set 10
Reference
efta-01461666
Pages
1
Persons
0
Integrity
Extracted Text (OCR)
Text extracted via OCR from the original document. May contain errors from the scanning process.
Jun
Dec
Sep
2013
USD1NR Curncy (USD-INR X-RATE) Daity 2DMAY2013-20XAY2014
Trade 1: 9month expiry vanilla USDINR puts
Ref spot: USDINR 58.6
Maturity
Fwd
9m
61.56
Strike
Price
% OTMS Strike (% notional)
0
53.60
1
58.01
2
57.42
1.31
0.92
0.71
6&0000
66.0000
64.0000
62.0000
60.0000
..10•VVNIV
56.0000
54.0000
Mar
2014
Copyrigh 2014 Bloomberg Finance L.D.
20-may-2014 17:57:03
Scenario Analysis for Trade 1
Table shows value of option (as % of notional) on movement in spot, decaying with time
Spot %
move
Spot
level
9m
6m
3m
lm
At exp
6
62.12
0.21
0.15
0.05
0.00
0.00
4
60.94
0.35
0.28
0.14
0.02
0.00
2
59.77
0.61
0.56
0.39
0.13
0.00
0
58.60
1.31
1.06
0.96
0.65
0.00
-2
57.43
1.73
1.87
1.97
1.90
2.00
-4
56.26
2.71
3.04
3.42
3.72
4.00
-6
55.08
4.00
4.54
5.25
5.85
6.00
Trade 2: Buy a 9month 1% OTM Spot USDINR put and sell a 9m 15% OTM Spot USDINR call for net zero premia
Put strike: 58.08, call strike: 67.58
Ref spot: USDINR 58.6
Scenario Analysis for Trade 2
CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e)
DB-SDNY-0 123843
CONFIDENTIAL
SDNY_GM_00270027
EFTA01461666
Technical Artifacts (3)
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GPS
56.0000
54.0000GPS
62.0000
60.0000GPS
66.0000
64.0000Forum Discussions
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