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Solid Demand for OTM Calls Dominates ZAR Options

  • USD/ZAR options seeing notable interest Friday, despite spot trading inside the week's range, with the ZAR slightly firmer. Demand for upside protection in USD/ZAR is evident, with just over $3 in calls trading for every $1 in puts, per DTCC data.
  • Decent cumulative interest in OTM call strikes at 20.6250 and 21.165 have driven volumes, with expiries capturing the turn of the year, much of Q1'24, and inevitably some of the build-up to the 2024 Presidential elections. Additionally, the January and March SARB decisions.
  • Front-end vols and a large part of the implied curve have been marked higher this week, with the 3m contract adding around half a point off the November multi-year lows, however vols remain generally subdued and considerably below the longer-term running average.
MNI London Bureau | +44 203-865-3809 |
MNI London Bureau | +44 203-865-3809 |

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