From: Nay Gupta <

From: Nay Gupta < To: jeevacationggmail.com Cc: , Tazia Smith , Paul Morris Nay Gupta Subject: Jeffrey - Rupee Appreciation - Nay Date: Tue, 20 May 2014 13:49:43 +0000 Inline-Images: unnamed; unnamed(1); unnamed(2) Jeffrey After pricing lots of possibilities, are two ways i like best to play usdinr lower 1) buy vanilla European style USDINR puts Ref s•ot: 58.67 Strike % OTMS Strike lm Maturity 3m 6m 0 58.67 0.75 1.07 1.19 1 58.08 0.40 0.72 0.89 2 57.50 0.20 0.48 0.67 Fwd 58.98 59.57 60.61 This table has 9 offers in %notional: 1m 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. Nav Nav Gupta Managing Director Deutsche Bank AG. Filiale London Deutsche Asset & Wealth Management 105/108 Old Broad St (Pinners Hall). EC2N 1 EN London. United Kingdom Tel. +4 Mobile Email EFTA01203917 Any proposed ideas are being delivered to you by the DeAWM Key Client Partners ('KCP") London desk for discussion purposes only, and do not create any legally binding obligation on the part of Deutsche Bank AG and / or its affiliates ("DB"). These ideas are for the consideration of the intended recipients of this mail only. The KCP London desk does not provide investment advice. All intended recipients are Professional investors (as defined by MiFID). who understand the strategy. characteristics and risks associated with any ideas proposed herein and will be able to evaluate it independently. All trades on proposed ideas shall be subject to the relevant internal approvals prior to execution. Panitrpcirr Per font This e-mail may contain confidential and/or privileged information. If you are not the intended recipient (or have received this e-mail in error) please notify the sender immediately and delete this e-mail. Any unauthorized copying, disclosure or distribution of the material in this e-mail is strictly forbidden. Please refer to and to for additional EU corporate and regulatory disclosures for information about privacy. EFTA01203918