EFTA01203931.pdf

From: Nay Gupta To: [email protected], DBComAdmins Cc: Tazia Smith , Paul Morris < >, Subject: Jeffrey - Two 9month expiry Rupee option trades + historical charts Date: Tue, 20 May 2014 17:12:50 +0000 Inline-Images: unnamed; unnamed(1); unnamed(2); unnamed(3); unnamed(4); unnamed(5); unnamed(6); unnamed(7); unnamed(8) USDINR - 6 Month History 63.0000 62.0000 61.0000 60.0000 59.0000 55.640-0 Nov Dec Jan Feb Mar Apr May 2013 2014 USDINR Curacy (USD-INR X-RATE) Daily 20NOV201.3-20MAY2014 Copyright 2014 Bloomberg Finance L.P. 20-May-2014 17:56:46 USDINR 12 Month History 68.0000 66.0000 64.0000 62.0000 60.0000 58.6400 56.0000 54.0000 Jun Sep Dec Mar 2013 2014 USDINR Curacy (USD-INR X-RATE) Daily KNAY2013-20NAY2014 Copyright 2014 Bloomberg Finance L.P. 20-May-2014 17:57:03 Trade 1: 9month expiry vanilla USDINR puts Ref spot: USDINR 58.6 Maturity 9m Fwd 61.56 EFTA01203931  Strike Price % OTMS Strike (% notional) 0 58.60 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 Table shows net value of a long put and short call option (as % of notional) on movement in spot, decaying with time Spot % Spot move level 9m 6m 3m lm 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 From: -Jeffrey E.' <jeeyacationgsmail.com> To: Nay Gupta Cc: Wit Sahni Tazia Smi Paul Morri Dale: 20/05/2014 17:22 Subject: Re: Jeffrey - Rupee Appreciation - Nay EFTA01203932 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 <=l 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 spot: 58.67 Strike Maturity % OTMS Strike lm 3m 6m 0 58.67 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 2) Buying vanilla European style out-of-the-money USDINR puts funded by selling OTM calls on USDINR 6month expiry spot ref 58.67 Buy USDINR put strike 58.08 (ATMspot -1%) Sell USDINR call strike 64.18 (ATMspot +9.4%) Net upfront premia zero I see from your last msg you want 9months. I'll price those and get back to you. Nav Nav Gupta Managing Director Deutsche Bank AG. Filiale London Deutsche Asset & Wealth Management 105/108 Old Broad St (Pinners Halt). EC2N 1EN London. United Kingdom Tel. +4 Mobil EFTA01203933 Email My proposed ideas are being delivered to you by the DeAWM Key Client Partners ("Ken London desk for discussion purposes only, and do not create any legally binding obligation on the part of Deutsche Bank AG and / or its affiliates ("DB*). These ideas are for the consideration of the intended recipients of this mail only. The KCP London desk does not provide investment advice. All intended recipients are Professional investors (as defined by MiFID). who understand the strategy. characteristics and risks associated with any ideas proposed herein and will be able to evaluate it independently. All trades on proposed ideas shall be subject to the relevant internal approvals prior to execution. Pan-io-4..fr Peiftrein This e-mail may contain confidential and/or privileged information. If you are not the intended recipient (or have received this e-mail in error) please notify the sender immediately and delete this e-mail. Any unauthorized copying, disclosure or distribution of the material in this e-mail is strictly forbidden. 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If you are not the intended recipient (or have received this e-mail in error) please notify the sender immediately and delete this e-mail. Any unauthorized copying, disclosure or distribution of the material in this e-mail is strictly forbidden. Please refer to http://www.db.com/en/content/eu_disdosures.htm for additional EU corporate and regulatory disclosures and to http://www.db.com/unitedkingdomkontent/privacy.htm for information about privacy. EFTA01203934