EFTA Document EFTA01447373

(Embedded image moved to file: pic12944.jpg) (Embedded image moved to file: pic14711.jpg) From: "jeffrey E." <[email protected]> (Embedded image moved to file: pic01153.jpg) (Embedded image moved to file: pic06418.jpg) To: Nav Gupta/db/dbcom0oBEmEA, (Embedded image moved to file: pic31618.jpg) (Embedded image moved to file: pic12342.jpg) Cc: vi nit sahni/db/dbcom@DBEMEA, Tazia Smith/db/dbcomOOBAMERIcAs, Paul Morris/db/dbcomODBAMERIcAs (Embedded image moved to file: pic02240.jpg) (Embedded image moved to file: pic15134.jpg) Date: 20/05/2014 17:22 (Embedded image moved to file: pic20548.jpg) (Embedded image moved to file: pic11136.jpg) Subject: 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, Nay Gupta rote: 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 (Embedded image moved to file: pic11126.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 (Embedded image moved to file: pic04486.gif) Nam Gupta Managing Director CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0101982 CONFIDENTIAL SDNY_GM_00248166 EFTA01447373