EFTA01203936.pdf

From: Tazia Smith < To: [email protected] Cc: Nav Gupta DBComAdmins , Paul Morris Vahe Stepanian Subject: Re: Jeffrey - Two 9month expiry Rupee option trades + historical charts Date: Tue, 20 May 2014 17:30:08 +0000 Inline-Images: unnamed; unnamed(1); unnamed(2); unnamed(3); unnamed(4); unnamed(5); unnamed(6); unnamed(7); unnamed(8) hi jeffrey - getting the 6mo price history on the options for you From: Nay Guptal l To: [email protected] Cc: Tazia Smi Paul Morris Date: 05/20/2014 01:13 PM Subject: Jeffrey - Two 9month expiry Rupee option trades + historical charts USDINR - 6 Month History 63.0000 62.0000 6L0000 60.0000 59.0000 Nov Dec Jan Feb Mar Apr May 2013 2014 USDINR Curacy (USD-INR X-RATE) Daily 20NOV2013-20MAY2014 03pyrightla 2014 Blomberg Finance LP. 20-Ilay-201417:56:46 USDINR 12 Month History EFTA01203936  68.0000 66.00(}0 64.00(}0 62.00(}0 60.00(}0 55.6430 ..,C.APJNPQ 56.0000 54.0000 Jun Sep Dec Mar 2013 2014 USDINR Curacy (USD-INR X-RATE) Daily 20MAY2013-20MAY2014 Copyright 2014 Bloomberg Finance 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 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 EFTA01203937 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.' <jeeyacationti>smail.com> To: Nay Gupt Cc: Wit Sahel,-. Tazia Smi Paul Mord, Date: 2010512014 17:22 Subject: Re: Jeffrey - Rupee Appreciation - Nay can you send inc a chart of where this has been over the past 6 months? thaks On Tue, May 20, 2014 at 9:49 AM, Nav Gupta <I 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 EFTA01203938 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. Nay Nay Gupta Managing Director Deutsche Bank AG. Filiale London Deutsche Asset & Wealth Management 105/108 Old Broad St (Pinners Hall). EC2N 1EN London. United Kingdom Tel. +4 Mobile Email Any proposed ideas are being delivered to you by the DeAWM Key Client Partners ("KCP") 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. 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