One can use the option market to gauge expectations of the outlook for the currency. The implied probability of a 10% or greater depreciation of the USDZAR is currently higher than for a large appreciation. Over a 3 month horizon, the probability of large shifts in the rand have fallen to their lowest level since 2014, while the probability has not shifted much at a 12 month horizon.
Footnote
For more details on the approach used read our paper, where we show that option-implied rand variance can improve forecast accuracy when predicting the USDZAR. This paper by Michelle Lewis also provides more discussion on using option pricing to gauge market expectations.
