Options-implied expectation for ZAR over next 12 months

The options market expects the rand to remain weak against the dollar over the next 12 months. Options prices also imply that the market is pricing in a higher risk of depreciation than appreciation.

Options-implied USDZAR

Note: Estimated using the approach of Malz, A M. 1997. ‘Option-implied probability distributions and currency excess returns’, Staff reports no. 32, Federal Reserve Bank of New York. 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.

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