📄 Extracted Text (192 words)
6&0000
66.0000
64.0000
62.0000
60.0000
..10•VVNIV
56.0000
54.0000
Jun Sep Dec Mar
2013 2014
USD1NR Curncy (USD-INR X-RATE) Daity 2DMAY2013-20XAY2014 Copyrigh 2014 Bloomberg Finance L.D.
20-may -2014 17:57:03
Trade 1: 9month expiry vanilla USDINR puts
Ref spot: USDINR 58.6
Maturity 9m
Fwd 61.56
Strike Price
% OTMS Strike (% notional)
0 53.60 1.31
1 58.01 0.92
2 57.42 0.71
Scenario Analysis for Trade 1
Table shows value of option (as % of notional) on movement in spot, decaying with time
Spot % Spot
move 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% OTM Spot USDINR put and sell a 9m 15% OTM Spot USDINR call for net zero premia
Put strike: 58.08, call strike: 67.58
Ref spot: USDINR 58.6
Scenario Analysis for Trade 2
CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 123843
CONFIDENTIAL SDNY_GM_00270027
EFTA01461666
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EFTA01461666
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