The South African currency's implied, or expected, volatility over the following three months is below that of the peso, ruble and lira for the first time since at least 2005, according to data compiled by Bloomberg. It's a turnaround from just two weeks ago, when investors priced the rand's future volatility higher than any of its peers.
South Africa is becoming something of a haven because many investors are optimistic about economic reforms under new President Cyril Ramaphosa. Meanwhile, they’re fretting about high inflation and loose monetary policy in Turkey, US sanctions against Russia, and Mexico’s elections in early July.
Bearish rand bets are fading along with expectations of volatility. The premium of contracts to sell the rand over those to buy it in the next three months, known as the 25-Delta risk reversal, has dropped more than 100 basis points in the past two months to around the lowest level in four years.
The premium is now also below that of the peso, ruble and lira, which has only happened on a few occasions previously.