EFTA01447320.pdf

From: Nay Gupta Sent: 5/20/2014 9:49:43 AM To: [email protected] CC: Tazia Smith-Paul Morris Nay Gupta Subject: Jeffrey - Rupee Appreciation - Nay 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 in 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: 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 +9A%) 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 Bath AG. Filial° London Deutsche Asset 8 Wealth Management rs Half). EC2N lEN London, United Kingdom Tel Mobile Email My proposed ideas are being delivered to you by the DeAWM Key Client Partners ("KCP-) London desk for discussion purposes oNy. 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 CONFIDENTIAL - PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0101924 CONFIDENTIAL SDNY_GM_00248108 EFTA01447320