EFTA01447339.pdf

From: Nay Gupta Sent: 5/20/2014 1:12:50 PM To: [email protected]; DBComAdmins CC: Tazia Smith Paul Morris Subject: Jeffrey - Two 9month expiry Rupee option trades + historical charts Attachments: pic20849.gif; pic23371.gif; pic16330.gif; pic28764.gif; pic22506.gie pic15134.gif; pic29399.gif; pic23266.gif; pic07052.gif USDINR - 6 Month History (Embedded image moved to file: pic20849.gif) USDINR 12 Month History (Embedded image moved to file: pic23371.gif) Trade 1: 9month expiry vanilla USDINR puts Ref spot: USDINR 58.6 (Embedded image moved to file: pic16330.gif) (Embedded image moved to file: pic28764.gif) Scenario Analysis for Trade 1 Table shows value of option (as % of notional) on movement in spot, decaying with time (Embedded image moved to file: pic22506.gif) 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 (Embedded image moved to file: pic15134.gif) Nay From: "jeffrey E." <[email protected]> TO: CC: 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 Tue, may 20, 2014 at 9:49 AM, Nav Gupta wrote: CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 101944 CONFIDENTIAL SDNY_GM_00248128 EFTA01447339