Investing in New Zealand Dollars

Which is better?

Option 1: Invest in NZD for 1 month and earn 7.7% per annum. If NZD appreciate, you earn the appreciation. If it falls, you suffer the loss.

Option 2: Invest in a Dual Currency deposit and earn 8.0% per annum. If NZD appreciate, the bank keeps the appreciation. If it falls, you suffer the loss.

I decided on option 1. Here is my calculation.

I assume:

1) Chance of appreciation: 30%, average gain 1%. Expected gain 0.3%
2) Chance of depreciation: 70%, average loss 1%. Expected loss 0.7%
3) The difference of 0.4% for 1 month is 4.8% for 1 year, which is the difference in interest rate between NZD and SGD

If NZD depreciates, I suffer a loss in both cases.

If NZD appreciates,
- under option 1, I get an additional 0.3% for 1 month
- under option 2, I get an additional 0.025% for 1 month (i.e 1/12th of 0.3%)

Why does option 2 give such a poor return for the risk (i.e 0.25% instead of 0.3%)? I suspect that the bank keeps the difference.