EFTA01461712.pdf

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 cfl> wrote: Jeffrey After pricing lots of possibilities, are two ways i like best to play usdinr lower I) buy vanilla European style USDINR puts Refs.. : 58.67 Strike Maturity %OTMS Strike lm 3m rim 0 53.67 0.75 1.07 1.19 1 58.03 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 °onotional: 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 msa you want 9months. I'll price those and get back to youl. Nay Nay Gupta Managing Director Deutsche Bank AG. Rhale London Deutsche Asset 8 Wealth Management 105/108O4d Broad St (Pinners Hall). EC2N 1EN London. Untied Kingdom Tel +44 (20) 754-13613 Mobile +44 7887 628487 Email nay.guptag0db corn CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0123903 CONFIDENTIAL SONY M41_00270087 EFTA01461712