EFTA01447349.pdf

From: Tazia Smith Sent: 5/20/2014 1:30:08 PM To: [email protected] CC: Nay Gupta 0BComAdmins ; Paul Morris ; • Vahe Stepanian Subject: Re: Jeffrey - Two 9month expiry Rupee option trades + historical charts Attachments: pic23263.gif; pic27521.gif; pic09843.gif; pic24584.gif; pic08509.gif; pic19508.gif; pic0S693.gif; pic21319.gif; pic05865.gif hi Jeffrey - getting the 6mo price history on the options for you From: Nav Gupta/db/dbcom@DBEMEA To: [email protected], Cc: Tazia Smith/db/ Paul Marris/db/ I Date: 05/20/2014 01:13 PM Subject: Jeffrey - Two 9month expiry Rupee option trades + historical charts USDINR - 6 Month History (Embedded image moved to file: pic23263.gif) USDINR 12 Month History (Embedded image moved to file: pic27521.gif) Trade 1: 9month expiry vanilla USDINR puts Ref spot: USDINR 58.6 (Embedded image moved to file: pic09843.gif) (Embedded image moved to file: pic24584.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: pic08509.gif) 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 Table shows net value of a long put and short call option (as % of notional) on movement in spot, decaying with time (Embedded image moved to file: pic19508.gif) Nay CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 101956 CONFIDENTIAL SDNY_GM_00248140 EFTA01447349