EFTA Document EFTA01462633

Subject: Fw: Jeffrey - Two 9month expiry Rupee option trades + historical charts From: Tazia Smith < Date: Tue, 20 May 2014 15:20:04 -0400 To: [email protected] Cc: Paul Morris <I >, Nav Gupta ":n Vinit Sahni Vahe Stepanian 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 sa id, I've included the 6 and 12mo ATM USDINR implied vol history here to provide some context of hist orical 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 USD) of 55.1137, the 9mo AT M 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 (Embedded image moved to file: pic15665.gif) lyr USDINR AMT Implied Vol History (Embedded image moved to file: pic19398.gif) 9mo ATM USDcINRp as of 8/28/13 = $51k premium vs. $1mm notional (Embedded image moved to file: pic20490.gif) 9mo ATM USDcINRp as of 5/20/13 = $16.6k premium vs. $lmm notional (Embedded image moved to file: pic09185.gif) Used with permission of Bloomberg Finance LP EFTA01462633 Forwarded by Tazia Smith/db/dbcom on 05/20/2014 02:03 PM (Embedded image moved to file: pic29796.jpg) (Embedded image moved to file: pic05364.jpg) From: Nay Gupta/db/dbcom@DBEMEA (Embedded image moved to file: pic23148.jpg) (Embedded image moved to file: pic15425.jpg) To: [email protected], DBComAdmins@dbcom, EFTA01462634 (Embedded image moved to file: pic18681.jpg) (Embedded image moved to file: pic29018.jpg) Cc: Tazia Smith/db/dbcom@DBAMERICAS, Paul Morris/db/dbc om@DBAMERICAS, (Embedded image moved to file: pic07434.jpg) (Embedded image moved to file: pic14895.jpg) Date: 05/20/2014 01:13 PM (Embedded image moved to file: pic05651.jpg) (Embedded image moved to file: pic27806.jpg) Subject: Jeffrey - Two 9month expiry Rupee option trades + h istorical charts EFTA01462635 USDINR - 6 Month History (Embedded image moved to file: pic24009.gif) USDINR 12 Month History (Embedded image moved to file: pic20880.gif) Trade 1: 9month expiry vanilla USDINR puts Ref spot: USDINR 58.6 (Embedded image moved to file: pic28503.gif) (Embedded image moved to file: pic32224.gif) Scenario Analysis for Trade 1 Table shows value of option (as % of notional) on movement in spot, decaying with time (Embedded image moved to file: pic24857.gif) Trade 2: Buy a 9month 1% OTM Spot USDINR put and sell a 9m 15% OTM Spot USDINR call for net zero pre mia 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, de caying with time (Embedded image moved to file: pic30628.gif) Nav (Embedded image moved to file: pic27984.gif)Inactive hide details for "jeffrey E." ---20/05/2014 17: 22:18---can you send me a chart of where this has been over the past 6 "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 (Embedded image moved to file: pic12944.jpg) (Embedded image moved to file: pic14711.jpg) EFTA01462636 From: "jeffrey E." <[email protected]> (Embedded image moved to file: pic01153.jpg) (Embedded image moved to file: pic06418.jpg) To: Nay Gupta/db/distom@DBEMEA, (Embedded image moved to file: pic31618.jpg) (Embedded image moved to file: pic12342.jpg) cc: Vinit Sahni/db/dbcom@DBEMEA, Tazia Smith/db/dbcom@DBAMERICAS, Paul Morris/db/dbcom@DBAMERICAS EFTA01462637 (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 - Nate 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 EFTA01462638 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 simil ar (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) Nav Gupta Managing Director Deutsche Bank AG, Filiale London Deutsche Asset & Wealth Management 105/108 Old Broad St (Dinners Hall), EC2N lEN London, United Kingdom Tel. Mobil 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 D eutsche Bank AG and / or its affiliates ("DB"). These ideas are for the consideration of the intende d 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, character istics and risks associated with any ideas proposed herein and will be able to evaluate it independe ntly. All trades on proposed ideas shall be subject to the relevant internal approvals prior to exec ution. (Embedded image moved to file: pic07343.gif) This e-mail may contain confidential and/or privileged information. If you are not the intende d 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. 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