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Options-implied expectation for ZAR over next 12 months - Codera Analytics

Options-implied expectation for ZAR over next 12 months

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.