We estimate that the options market expects the rand to trade at a similar level over the next 12 months, but that that the market is pricing in a higher risk of depreciation than appreciation.
Note: Estimated on data as at 30 September 2022 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.
