Options market sees relatively low ZAR depreciation risk

The risk of ZAR depreciation implied by options prices  is relatively low at the moment. Risk reversal is measure of the risk that the ZAR could move in a particular direction. A positive risk reversal value indicates that the market has always priced a greater risk of depreciation than appreciation into currency options. Viewing the ZAR as a risky currency, market participants tend to take out insurance against ZAR depreciation using FX options.

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