From: Tazia Smith •tt

From: Tazia Smith •tt > To: [email protected] Cc: Paul Morris 4 Nav Gu ta , Vinit Sahni Vahe Stepanian Subject: Fw: Jeffrey - Two 9month expiry Rupee option trades + historical charts Date: Tue, 20 May 2014 19:20:04 +0000 Inline-Images: unnamed; unnamed(1); unnamed(2); unnamed(3); unnamed(4); unnamed(5); unnamed(6); unnamed(7); unnamed(8); unnamed(9); unnamed(10); unnamed(11); unnamed(12); unnamed(13); unnamed(14); unnamed(15); unnamed(16); unnamed(17); unnamed(18); unnamed(19); unnamed(20); unnamed(21); unnamed(22); unnamed(23); unnamed(24); unnamed(25); unnamed(26); unnamed(27); unnamed(28); unnamed(29); unnamed(30); unnamed(31); unnamed(32); unnamed(33) 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 5/20113 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 Nav laid out. 6mo USDINR AMT Implied Vol History EFTA01203944 USDINRV6M 8.8250 -.13(K) A-- BGN 8.5750 /9.0750 BGN USDINRV6M BGN 05/20/2013 ID 3D IM 6M YID . 1Y . 5Y Max Daily • 05/20/2014 Last Price BGN MZW11. Compare Moy.Avgs Line Chart p Dit I 4 Event 0 No Lower Chart et4 Security/Study + Track .! Annotate News O, Zoom I N Last Price -9- 8.8250 T High on 08/28/13 19.9975 Average - 12.354° +18.0000 1 Low on 05/20/14 8.8250 4-20.0000 4-16.0000 4-14.0000 12.0000 e-10.0000 8.8250 4-8.0000 Jun Sep 2013 Mar 2014 r USDINR AMT Implied Vol Histor USDINRV1Y 9.5800 -.0425 4_ BGN 9.3300 9.8300 BGN 99 Save As' 9Q ActionWriar9Q Table ne Chart fl 63J no III Compere Mov. A \ gs IMM MI No Lower Chart g lift USDINRV1Y BGN 05/20/2013 1D 05/20/2014 3D IM 6M YID Last Price 1Y 5Y Max Daily • Se: city/Study 11 Event 0 ± Track 7 Annotate 'M News O, Zoom +20.0000 I • Last Price 9.5800 . T High on 08/28/13 19.7275 + Average U451 4-18.0000 1 Low on 05/21/13 9.3700 3 4-16.0000 +14.0000 +12.0000 Jun Sep 2013 Dec Mar 2014 9mo ATM USDcINRp as of 8128113 = $51k premium vs. $1mm notional EFTA01203945 <HELP> for explanation. Screen Printed Asset - 91) Actions 93 Products - 93 Views - 94 Data & Settings - opnon valuation 371 (Premium) -I 33 Load I 33 Save I 34 Trade -I 39 CVA •I ; cB Deal St Prici-. Sc TS Description Price date Asset Spot Style Direction Call/Put Expiry Delivery Strike Notional Model Strategy i Leg 1 USD/INR Vanilla 20140528 08/28/13 W 15:00 Offshore W USDINR Mid W 66.9215 European Vanilla 2. Client buys Cash USD USD Put 9 months Fl 05/28/14 Mumbai 12:30 05/30/14 ► 68.8200 4.11% OTMF USD Lk 1,000,000.00 Black-Scholes 2. More Market Data Vol 0 Vol Spread Points Forward USD Depo INR Depo Greeks Gamma Vega a Ma a 17.555%/20.679% 3.124% Mid Mid Kid Kid 71.7700 USD Id 22 779.35 3 257.14 II Results Price Premium Prem date Delta Fledge 9mo ATM USDcINRp as of 5/20/13 = $16.6k premium vs. $1mm notional ,ICHELP > for explanation. Screen Printed lumminrri nktiOnS— r - 93 Products - 93 Views 3D (Premium l oa 31 Save I 34 Trade D +—, 61 Deal 1 Prici TS Description Price date Asset Spot Style Direction Call/Put Expiry Delivery Spike Notional Model Strategy 1 Leg 1 USD/INR Vanilla 20140528 05/20/13 Offshore Mid PI 15:00 USDINR 54.9875 0.000 94 Data & Settings - Option Valuation 5-CVA 39 Send to TR More Market Data Vol Vol Spread Points Forward USD Depo INR Depo Greeks Gamma Vega 8.6622/9.518% 0.856% 321.10... 58.1985... 0.127...% 5.851...% USD 41 35,360.01 3,284.59 O Results Price Premium Prem date Delta Hedge USD s USD lo,o51. 71 05/22/13 -27.6420% 276 419.77 Used with permission of Bloomberg Finance LP Forwarded by Tazia Smith_ on 05/20/2014 02:03 PM EFTA01203946 From: Nay Gup To: [email protected] Cc: Tazia Smith aul Moths) Date: 05/20/2014 01:13 PM Subject: Jeffrey - Two 9month expiry Rupee option trades + historical charts USDINR - 6 Month History Nov Dec Jan Feb Mar Apr May 2014 2013 USDINR Cumcy (USD-INR X-RATE) Daily 20NOV2013-20MAY2014 63.0000 62.0000 61.0000 60.0000 59.0000 55.6400 Copyright§ 2014 Bloomberg Finance 20-May-2014 17:56:46 USDINR 12 Month History Jun Sep 2013 Dec LEDUC Qrncy (IED-DiR X-RATE) Daily 2011AY2013-2011AY2014 68.0000 66.0000 64.0000 62.0000 60.0000 58.6400 56.0000 54.0000 Mar 2014 Copyright 2014 Bloomberg Finance 20-May-2014 17:57:03 Trade 1: 9month expiry vanilla USDINR puts Ref spot: USDINR 58.6 EFTA01203947 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 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% OTN1 Spot CSDINR put and sell a 9m 15% OTN1 Spot CSDINR 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 vain'. of a long put and short call option (as % of notional) on movement in spot, decaying with time 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 "Jeffrey E." —20/05/2014 17:22:18—can you send me a chart of where this has been over the past 6 months? thaks From: "Jeffrey E." <[email protected]> EFTA01203948 To: Cc: Date: Subject: Nay Gupt Vinit Morris/ 20/05/2014 17:22 Tazia Smith? Paul Re: Jeffrey - Rupee Appreciation - Nay 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 I) 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 3inth 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 von. Nav EFTA01203949 Nay Gupta Managing Director Deutsche Bank AG. Filiale London Deutsche Asset 8 Wealth Management 1051108 Old Broad St (Pinners Hall). EC2N 1EN London, United Kingdom Tel. Mobi Email My proposed ideas are being delivered to you by the DeAWM Key Client Partners ("Ken 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 ("DB1. These ideas are for the consideration of the intended recipients of this mail only. 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