EFTA01461724.pdf

From: Nav Gupta [email protected]] Sent: 6/5/2014 2:32:14 PM To: Vahe Stepanian CC: Tazia Smith ; Paul Morris Vinit Sahni Subject: Fw: Jeffrey EURUSD Puts vs Calls - Nav Attachments: pic22250.gif; pic01848.gif; pic24348.gif Classification: External Communication vahe Can you look after any execution that comes in from Jeffrey. I priced the options with a cpl cents p+l over the traders offer so even if eurusd is trading 136.50 you should be able to get these prices from Caleb no prob. Can u give Caleb a heads up also Any qns my numbers are on my bbg header don't hesitate to call TX Nay original message From: Nav Gupta Sent: 06/05/2014 07:08 PM GDT To: [email protected] cc: vinit sahni; Paul Morris; Tazia smith; vahe stepanian Subject: Jeffrey - EURUSD Puts vs calls - Nay Jeffrey, EURUSD spiked post ECB. Shorts who expected spot to go lower but don't want the risk into tomorrows payrolls are getting stopped out after hours. lday EUR USD Chart (Embedded image moved to file: pic22250.gif) EURUSD Spot Ref 1.3660 Expiry 3months 5Sep14 European Style Buy 1.3415 EURUSD Put / Sell 1.38 call Net premia is flat (The strikes arent symmetric around spot because the vol for the call you want to sell is 0.7 vol lower than the vol for the put) Alternatively consider : - Buy 1.345 EURUSD Put / Sell 1.38 Call Net premia you pay is 8.5bp of notional I'll work on the scenario grids for you overnight - I think this pop in EURUSD is opportune to start scaling Nay (Embedded image moved to file: pic01848.gif) Nav Gupta Managing Director Deutsche Bank AG, Filiale London Deutsche Asset & wealth management CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 123926 CONFIDENTIAL SDNY_GM_00270110 EFTA01461724