EFTA01461671.pdf

Nay From: "jeffrey E." <[email protected]> To: Nav Gupta/db/dbcom@DBEMEA, Cc: Vi nit Sahni/db/dbcom@DBEMEA, Tazia Smith/db/dbcom@DBAMERICAS, Paul Morris/db/dbcomODBAmERIcAs Date: 20/05/2014 17:22 subject: Re: Jeffrey - Rupee Appreciation - Nav can you send me a chart of where this has been over the past 6 months? thaks on rue, May 20, 2014 at 9:49 AM, Nay Gupta 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 (Embedded image moved to file: pic19638.gif) This table has 9 offers in %notional: lm 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. Nay (Embedded image moved to file: pic01988.gif) Nav Gupta Managing Director Deutsche Bank AG, Finale London Deutsche Asset & Wealth Management 105/108 Old Broad St (Pinners Nall), EC2N 1EN London, united Kingdom Tel. +44 (20) 754-13613 Mobile +44 7887 628487 Email [email protected] CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 123848 CONFIDENTIAL SDNY_GM_00270032 EFTA01461671