From: Nav Gupta < To: [email protected] Cc: Paul Morris , Tazia Smith cj Subject: Re: Jeffrey - Rupee Appreciation - Nav Date: Wed, 21 May 2014 10:29:59 +0000 Inline-Images: unnamed; unnamed(1); unnamed(2) >, Vinit Sahni Jeffrey We don't have the tools in place to graph FX option prices historically. I am figuring out how we can build it for you over the weekend. Nav From: -Jeffrey E. <" ' rn> To: Nay Gupta/ Cc: Vinit Sah Tazia Smith Dale: 20/05/2014 17:22 Subject: Re: Jeffrey - Rupee Appreciation - Nay . Paul Morris. 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 1) b uy vanilla European style USDINR puts Ref spot: 58.67 Strike % OTMS Strike lm Maturity 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 3mth ATMspot put costs a similar (1.07%) amount EFTA01203984