EFTA01203926.pdf

From: "Jeffrey E." <jeexacation(kgmail.com> To: Nay Gupta < Cc: Vinit Sahni , Tazia Smith < >, Paul Morris Subject: Re: Jeffrey - Rupee Appreciation - Nav Date: Tue, 20 May 2014 16:22:07 +0000 Inline-Images: unnamed; unnamed(1); unnamed(2) can you send me a chart of where this has been over the past 6 months? thaks On The, 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 Strike Maturity % OTMS Strike lm 3m 6m 0 58.67 0.75 1.07 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 EFTA01203926  Nay Gupta Managing Director Deutsche Bank AG. Filiale London Deutsche Asset /I Wealth Management 1051108 Old Broad St (Pinners Hall). EC2N 1EN London, United Kingdom Tel. +44 20 754-13613 Mobil Email My 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 ("DS"). These ideas are for the consideration of the intended recipients of this mail only. The KCP London desk does not provide iwestment advice. PJI 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. PcalriCry‘fr Peiferein 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. Please refer to http://www.db.com/enicontentleu disclosures.htm for additional EU corporate and regulatory disclosures and to http://www.db.com/unitedkingdom/content/privacy.htm for information about privacy. please note The information contained in this communication is confidential, may be attorney-client privileged, may constitute inside information, and is intended only for the use of the addressee. It is the property of JEE Unauthorized use, disclosure or copying of this communication or any part thereof is strictly prohibited and may be unlawful. If you have received this communication in error, please notify us immediately by return e-mail or by e-mail to [email protected], and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved EFTA01203927