It Looks Like Rand Swings Will Get Worse Before They Get Better
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The rand is back as the world’s most volatile major currency, and options pricing suggests it’s not going to lose that status any time soon.
A gauge of expected swings over the next six months, based on prices of options to buy and sell the rand, has jumped 175 basis points since the beginning of August to 16.1% on Thursday. Historical volatility climbed 61 basis points to 13.8%, the highest among 16 major developed-nation and emerging-market currencies tracked by Bloomberg.