From: Nav Gupta
Sent: 5/21/2014 6:29:58 AM
To: jeevacation@gmail.com
CC: Paul Morris Tazia Smith Vinit Sahni
Subject: Re: Jeffrey - Rupee Appreciation - Nav
Attachments: pic11466.gif; pic26229.gif; pic27859.gif
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.
Nay
From: "Jeffrey E." <jeevacation@gmail.com>
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:
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
(Embedded image moved to file: pic11466.gif)
This table has 9 offers in %notional: 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 msg you want 9months. I'll price those and get back to you.
Nay
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