EFTA01461670.pdf

From: Tazia Smith Sent: 5/20/2014 1:30:08 PM To: [email protected] CC: Nay Gupta I ; DBComAdmins ; Paul Morris[ Vahe Stepanian lailmeinumelmalSj Subject: Re: Jeffrey - Two 9month expiry Rupee option trades + historical charts Attachments: pic01996.gif; pic27381.gif; pic16715.gif; pic16452.gif; pic31000.gif; pic14930.gif; pic19638.gif; pic01988.gif; pic25246.gif hi Jeffrey - getting the 6mo price history on the options for you From: Nay Gupta/db/dbcom@DBEMEA To: [email protected], OBComAdmins@dbcom, Cc: Tazia Smith/db/dbcom008AMERICAS, Paul Morris/db/dbcom@OBAMERICAS, [email protected] 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: pic01996.gif) USDINR 12 Month History (Embedded image moved to file: pi c27381.gi f) Trade 1: 9month expiry vanilla USDINR puts Ref spot: USDINR 58.6 (Embedded image moved to file: pic16715.gif) (Embedded image moved to file: pic16452.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: pic31000.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: pic14930.gif) CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 123847 CONFIDENTIAL SDNY_GM_00270031 EFTA01461670