EFTA01461667.pdf

Table shows net value of a long put and short call option (as */0 of notional) on movement in spot, decaying with time Spot % Spot move level 9m on) 3m 1n) At exp 6 62.12 -1.91 -0.98 -0.23 0.00 0.00 4 60.94 -1.37 -0.59 0.09 0.00 0.00 2 59.77 -0.83 -0.19 0.16 0.06 0.00 0 58.60 0.00 0.35 0.61 0.34 0.00 -2 57.43 0.56 1.14 1.45 1.26 2.00 -4 56.26 1.58 2.24 2.74 2.89 4.00 -6 55.08 2.89 3.69 4.44 4.94 6.00 Nav Runt "Jeffrey E." leeyacattontagmail.corn> To- Nay GuptaklbrObcomeDBEMEA. Cc. Vlnit SahnUdbrdbcorneDBEMEA. Tana Smith/db/dbcomeDBAMERICAS. Paul MorriardbAlbcomeDBAMERICAS Date 20/05201417:22 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, Nav Gupta <nay.guptaedb.com> wrote: Jeffrey After pricing lots of possibilities, are two ways i like best to play usdinr lower 1) buy vanilla European style USDINR puts Ref s • ot: 58.67 Strike Maturity % 0TM5.: Strike lm 3m 6m 0 53.67 0.75 1.07 1.19 1 58.08 0.40 0.72 0.89 2 57.50 0.20 0.48 0.67 Fwd 58.98 59.57 60.61 This table has 9 offers in %notional: 1m 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 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 123844 CONFIDENTIAL SDNY_GM_00270028 EFTA01461667