Traders are cutting longer-dated bearish positioning on the South African rand, according to options market data cited by Bloomberg and Moneyweb. The cost of hedging against a decline in the rand over the next 12 months has fallen to its lowest level this year. One measure tracked by Moneyweb—one-year risk reversals, which reflect the difference in the cost of options to sell versus buy the rand—trades around 1.8 percentage points on Tuesday, the lowest since December. Bloomberg attributes the cooling in hedging demand to expectations that recent sources of volatility will fade. It points to market disruptions linked to the Middle East conflict and to a surprise decision by South Africa’s central bank to hold interest rates. With investors implying less risk of large rand moves in the coming year, the implied premium to bet against the currency declines. Both outlets focus on changes in options pricing rather than spot moves, indicating a shift in how investors position for future exchange-rate swings rather than reporting changes in the rand’s current level.
Options Traders Reduce Long-Term Bearish Bets on South African Rand
Traders are cutting longer-dated bearish positioning on the South African rand, according to options market data cited by Bloomberg and Moneyweb. The cost of hedging against a decline in the rand over...
- Options traders reduce long-term bearish bets on the South African rand.
- The cost of 12-month hedging against rand declines falls to the lowest level this year.
- Moneyweb reports one-year risk reversals at about 1.8 percentage points on Tuesday.
- One-year risk reversals are the lowest since December.
- Bloomberg links the decline in hedging demand to expectations that volatility from the Middle East conflict and a central bank surprise rate hold will fade.
One-year risk reversals — the difference in cost between options to sell or buy the rand — traded at 1.8 percentage points on Tuesday, the lowest level since December.
3 hours agoThe cost of hedging against rand declines over the next 12 months has fallen to the lowest level this year as investors bet gyrations spurred by the Middle East conflict and a surprise interest-rate hold by the central bank will soon blow over.
3 hours ago
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