EFTA01461707.pdf

From: Tazia Smith Sent: 5/20/2014 3:20:04 PM To: [email protected] CC: Paul Morris el; Nay Gupta Vinit Sahn Vahe Stepanian Subject: Fw: Jeffrey - Two 9month expiry Rupee option trades + historical charts 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 8128/13 (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 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 USDINRV6M A ' 8.5750 19.0750 USNNRV6H BGN IS Save As IQ ktkorts 97) Edit • 94 Table— Line Chart 05/2020/3 05/20/2014 Last Fria: CCU. ater ama NoLower Chat 6,4 It Sy Max Daily • S•u:J M EvIrt + Track z Annotate News . Rae 4.20.0000 y• Last Price 8.8250 T High on 08/28/13 19.9975 F -4- Average 12.3540 4-18.0000 1 1 Low on 05/20/14 8.8250 • 16.0000 • 1+0000 +-12.0000 .8.0000 Jun Sep Dec Mar 2013 2014 1yr USDINR AMT Implied Vol History CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 123898 CONFIDENTIAL SDNY_GM_00270082 EFTA01461707