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