From: Tazia Smith <

From: Tazia Smith < To: [email protected] Cc: Nav Gupta DBComAdmins , Paul Morris Vahe Stepanian Subject: Re: Jeffrey - Two 9month expiry Rupee option trades + historical charts Date: Tue, 20 May 2014 17:30:08 +0000 Inline-Images: unnamed; unnamed(1); unnamed(2); unnamed(3); unnamed(4); unnamed(5); unnamed(6); unnamed(7); unnamed(8) hi jeffrey - getting the 6mo price history on the options for you From: Nay Guptal l To: [email protected] Cc: Tazia Smi Paul Morris Date: 05/20/2014 01:13 PM Subject: Jeffrey - Two 9month expiry Rupee option trades + historical charts USDINR - 6 Month History Nov 2013 Dec Jan Feb Mar Apr May 2014 USDINR Curacy (USD-INR X-RATE) Daily 20NOV2013-20MAY2014 63.0000 62.0000 6L0000 60.0000 59.0000 03pyrightla 2014 Blomberg Finance LP. 20-I lay-201417:56:46 USDINR 12 Month History EFTA01203936 Jun Sep Dec 2013 USDINR Curacy (USD-INR X-RATE) Daily 20MAY2013-20MAY2014 Trade 1: 9month expiry vanilla USDINR puts Ref spot: USDINR 58.6 Maturity Fwd 9m 61.56 Strike % OTMS Strike 0 58.60 1 58.01 2 57.42 Price (% notional) 1.31 0.92 0.71 68.0000 66.00(}0 64.00(}0 62.00(}0 60.00(}0 55.6430 ..,C.APJNPQ 56.0000 54.0000 Mar 2014 Copyright 2014 Bloomberg Finance 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 Table shows net value of a long put and short call option (as % of notional) on movement in spot, decaying with time EFTA01203937 Spot % move Spot level 9m 6m 3m lm At exp 6 62.12 -1.91 -0.98 -0.23 0.00 0.00 4 60.94 -1.37 -0.59 0.09 0.00 0.00 2 59.77 -0.83 -0.19 0.16 0.06 0.00 0 58.60 0.00 0.35 0.61 0.34 0.00 -2 57.43 0.56 1.14 1.45 1.26 2.00 -4 56.26 1.58 2.24 2.74 2.89 4.00 -6 55.08 2.89 3.69 4.44 4.94 6.00 Nav From: Jeffrey E.' <jeeyacationti>smail.com> To: Nay Gupt Cc: Wit Sahel,-. Tazia Smi Date: 2010512014 17:22 Subject: Re: Jeffrey - Rupee Appreciation - Nay Paul Mord, can you send inc a chart of where this has been over the past 6 months? thaks On Tue, May 20, 2014 at 9:49 AM, Nav Gupta <I wrote: Jeffrey After pricing lots of possibilities, are two ways i like best to play usdinr lower 1) buy vanilla European style USDINR puts Ref spot: 58.67 Strike Maturity % OTMS Strike lm 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 EFTA01203938 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 Nay 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 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. PeaciinoNy Bufoopt, 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 http://www.db.com/en/content/eu disclosures.htm for additional EU corporate and regulatory disclosures and to http://www.db.com/unitedkingdom/content/privacy.htm for information about privacy. please note The information contained in this communication is confidential, may be attorney-client privileged, may constitute inside information, and is intended only for the use of the addressee. It is the property of JEE Unauthorized use, disclosure or copying of this communication or any part thereof is strictly prohibited and may be unlawful. If you have received this EFTA01203939 communication in error, please notify us immediately by return e-mail or by e-mail to [email protected], and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. EFTA01203940