EFTA Document EFTA01461681

From: Tazia Smith Sent: 5/20/2014 3:20:04 PM To: [email protected] CC: Paul Morris [ j; Nay Gupta Vahe Stepan ian Subject: Fw: Jeffrey - Two 9month expiry Rupee option trades + historical charts Attachments: pic00362.gif; pic05194.gif; pic09013.gif; pic24446.gif; pic28785.jpg; pic10593.jpg; pic17321.jpg; pic19508.jpg; pic30811.jpg; pic32442.jpg; pic30353.jpg; pic11234.jpg; pic15457.jpg; pic09407.jpg; pic23679.gif; pic26466.gif; pic25151.gif; pic18762.gif; pic20148.gif; pic02692.gif; pic16346.gif; pic16058.jpg; pic06628.jpg; pic09147.jpg; pic03109.jpg; pic31045.jpg; pic22073.jpg; pic19478.jpg; pic05957.jpg; pic30352.jpg; pic00154.jpg; pic27506.gif; pic19956.gif; pic17276.gif ; Vinit Sahni Jeffrey - Traders' view is that accurate history on the option itself (9mo ATM usopimRc, 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 5/20/13 when spot was at it's 52wk low (rupee strength vs uso) of 55.1137, the 9mo ATM USDCINRD cost —1.65% according to Bloomberg. This compares to the present —1.3% vs. 58.60 spot that Nay laid out. 6mo USDINR ANT Implied vol History (Embedded image moved to file: pic00362.gif) lyr USDINR AMR Implied Vol History (Embedded image moved to file: pic0S194.gif) 9mo ATM uSDcINRp as of 8/28/13 = 551k premium vs. Slmm notional (Embedded image moved to file: pic09013.gif) 9mo ATM USDcINRp as of 5/20/13 = 516.6k premium vs. Slmm notional (Embedded image moved to file: pic24446.gif) used with permission of Bloomberg Finance LP Forwarded by Tazia smith/db/dbcom on 05/20/2014 02:03 PM (Embedded (Embedded image moved to file: pic10593.jpg) image moved Nay Gupta/db/dbcom@DBEMEA to file: pic28785.jp g) CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 123859 CONFIDENTIAL SDNY_GM_00270043 EFTA01461681