EFTA01203944.pdf

From: Tazia Smith •tt > To: [email protected] Cc: Paul Morris 4 Nav Gu ta , Vinit Sahni Vahe Stepanian Subject: Fw: Jeffrey - Two 9month expiry Rupee option trades + historical charts Date: Tue, 20 May 2014 19:20:04 +0000 Inline-Images: unnamed; unnamed(1); unnamed(2); unnamed(3); unnamed(4); unnamed(5); unnamed(6); unnamed(7); unnamed(8); unnamed(9); unnamed(10); unnamed(11); unnamed(12); unnamed(13); unnamed(14); unnamed(15); unnamed(16); unnamed(17); unnamed(18); unnamed(19); unnamed(20); unnamed(21); unnamed(22); unnamed(23); unnamed(24); unnamed(25); unnamed(26); unnamed(27); unnamed(28); unnamed(29); unnamed(30); unnamed(31); unnamed(32); unnamed(33) Jeffrey - Traders' view is that accurate history on the option itself (9mo ATM USDpINRc, for example) doesn't exist given the forward points, vol, liquidity, etc backdated inputs would not be accurate. That said, I've included the 6 and 12mo ATM USDINR implied vol history here to provide some context of historical relative value. Bloomberg is pretty accurate historically for G10 currencies, for INR it's bit off, but will give you a sense: As of 8/28/13 (USDINR high of 68.825 spot), bloomberg suggests the ATM 9mo USDcINRp would cost 5.01% (see screenshot below). Going back to 5/20113 when spot was at it's 52wk low (rupee strength vs USD) of 55.1137 the 9mo ATM USDcINRp cost —1.65% according to Bloomberg. This compares to the present —1.3% vs. 58.60 spot that Nav laid out. 6mo USDINR AMT Implied Vol History EFTA01203944  USDINRV6M 8.8250 -.13(K) A-- BGN 8.5750 /9.0750 BGN USDINRV6M BGN Line Chart 05/20/2013 05/20/2014 Last Price BGN MZW11. Compare Moy.Avgs No Lower Chartp Dit I ID 3D IM 6M YID . 1Y . 5Y Max Daily • et4 Security/Study 4 Event 0 + Track .! Annotate News O, Zoom 4-20.0000 N Last Price 8.8250 I T High on 08/28/13 19.9975 - -9- Average 12.354° +18.0000 1 Low on 05/20/14 8.8250 4-16.0000 4-14.0000 12.0000 e-10.0000 8.8250 4-8.0000 Jun Sep Mar 2013 2014 r USDINR AMT Implied Vol Histor USDINRV1Y 9.5800 -.0425 4_ BGN 9.3300 9.8300 BGN USDINRV1Y BGN 99 Save As' 9Q ActionWriar9Q Table ne Chart 05/20/2013 05/20/2014 Last Price fl 63J no III Compere Mov. A \ gs IMM MI No Lower Chart g lift 1D 3D IM 6M YID 1Y 5Y Max Daily • Se: city/Study 11 Event 0 ± Track 7 Annotate 'M News O, Zoom +20.0000 • Last Price 9.5800 . I T High on 08/28/13 19.7275 + Average U451 4-18.0000 1 Low on 05/21/13 9.37003 4-16.0000 +14.0000 +12.0000 Jun Sep Dec Mar 2013 2014 9mo ATM USDcINRp as of 8128113 = $51k premium vs. $1mm notional EFTA01203945  <HELP> for explanation. Screen Printed Asset - 91) Actions 93 Products - 93 Views - 94 Data & Settings - opnon valuation 371 (Premium) -I 33 Load I 33 Save I 34 Trade -I 39 CVA •I cB Deal ; St Prici-. Sc Strategy i Leg 1 TS Description USD/INR Vanilla 20140528 More Market Data Price date 08/28/13 W15:00 Vol 0 17.555%/20.679% Asset Offshore W USDINR Vol Spread 3.124% Spot Mid W 66.9215 Points Mid Style European Vanilla 2. Forward a Mid 71.7700 Direction Call/Put Expiry Client buys USD 9 months Fl Cash USD Put 05/28/14 USD Depo INR Depo Greeks Maa Kid Kid Delivery Mumbai 12:30 05/30/14 ► Gamma USD Id 22 779.35 Strike 68.8200 4.11% OTMF Vega 3 257.14 Notional USD Lk 1,000,000.00 Model Black-Scholes 2. II Results Price Premium Prem date Delta Fledge 9moATM USDcINRp as of 5/20/13 = $16.6k premium vs. $1mm notional ,ICHELP > for explanation. Screen Printed lumminrri nktiOnS— r - 93 Products - 93 Views 94 Data & Settings - Option Valuation 3D (Premium oa l 31 Save I 34 Trade 5-CVA 39 Send to TR 61 Deal 1 D +—, Prici Strategy 1 Leg 1 TS Description USD/INR Vanilla 20140528 More Market Data Price date 05/20/13 15:00 Vol 8.6622/9.518% Asset Offshore PI USDINR Vol Spread 0.856% Spot Mid 54.9875 Points 321.10... Style Forward 58.1985... Direction USD Depo 0.127...% Call/Put INR Depo 5.851...% Expiry Greeks Delivery Gamma USD 41 35,360.01 Spike Vega 3,284.59 Notional Model O Results Price USD s 0.000 Premium USD lo,o51. 71 Prem date 05/22/13 Delta -27.6420% Hedge 276 419.77 Used with permission of Bloomberg Finance LP Forwarded by Tazia Smith_ on 05/20/2014 02:03 PM EFTA01203946 From: Nay Gup To: [email protected] Cc: Tazia Smith aul Moths) Date: 05/20/2014 01:13 PM Subject: Jeffrey - Two 9month expiry Rupee option trades + historical charts USDINR - 6 Month History 63.0000 62.0000 61.0000 60.0000 59.0000 55.6400 Nov Dec Jan Feb Mar Apr May 2013 2014 USDINR Cumcy (USD-INR X-RATE) Daily 20NOV2013-20MAY2014 Copyright§ 2014 Bloomberg Finance 20-May-2014 17:56:46 USDINR 12 Month History 68.0000 66.0000 64.0000 62.0000 60.0000 58.6400 56.0000 54.0000 Jun Sep Dec Mar 2013 2014 LEDUC Qrncy (IED-DiR X-RATE) Daily 2011AY2013-2011AY2014 Copyright 2014 Bloomberg Finance 20-May-2014 17:57:03 Trade 1: 9month expiry vanilla USDINR puts Ref spot: USDINR 58.6 EFTA01203947  Maturity 9m Fwd 61.56 Strike Price % OTMS Strike (% notional) 0 58.60 1.31 1 58.01 0.92 2 57.42 0.71 Scenario Analysis for Trade 1 Table shows value of option (as % of notional) on movement in spot, decaying with time Spot % Spot move level 9m 6m 3m lm At exp 6 62.12 0.21 0.15 0.05 0.00 0.00 4 60.94 0.35 0.28 0.14 0.02 0.00 2 59.77 0.61 0.56 0.39 0.13 0.00 0 58.60 1.31 1.06 0.96 0.65 0.00 -2 57.43 1.73 1.87 1.97 1.90 2.00 -4 56.26 2.71 3.04 3.42 3.72 4.00 -6 55.08 4.00 4.54 5.25 5.85 6.00 Trade 2: Buy a 9month 1% OTN1 Spot CSDINR put and sell a 9m 15% OTN1 Spot CSDINR 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 vain'. of a long put and short call option (as % of notional) on movement in spot, decaying with time Spot % Spot move level 9m 6m 3m lm At exp 6 62.12 -1.91 -0.98 -0.23 0.00 0.00 4 60.94 -1.37 -0.59 0.09 0.00 0.00 2 59.77 -0.83 -0.19 0.16 0.06 0.00 0 58.60 0.00 0.35 0.61 0.34 0.00 -2 57.43 0.56 1.14 1.45 1.26 2.00 -4 56.26 1.58 2.24 2.74 2.89 4.00 -6 55.08 2.89 3.69 4.44 4.94 6.00 Nav "Jeffrey E." —20/05/2014 17:22:18—can you send me a chart of where this has been over the past 6 months? thaks From: "Jeffrey E." <[email protected]> EFTA01203948 To: Nay Gupt Cc: Vinit Tazia Smith? Paul Morris/ Date: 20/05/2014 17:22 Subject: Re: Jeffrey - Rupee Appreciation - Nay 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: Jeffrey After pricing lots of possibilities, are two ways i like best to play usdinr lower I) buy vanilla European style USDINR puts Ref s ot: 58.67 Strike Maturity % OTMS Strike lm 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: 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 3inth 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 von. Nav EFTA01203949 Nay Gupta Managing Director Deutsche Bank AG. Filiale London Deutsche Asset 8 Wealth Management 1051108 Old Broad St (Pinners Hall). EC2N 1EN London, United Kingdom Tel. Mobi Email My proposed ideas are being delivered to you by the DeAWM Key Client Partners ("Ken 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 ("DB1. These ideas are for the consideration of the intended recipients of this mail only. 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