A listed currency future is a standardised agreement on an exchange rate for a future date. It is cash settled in rand — no foreign currency changes hands, and the profit or loss simply offsets the currency movement on whatever real exposure you are covering. That is what makes it a hedging instrument rather than a way of buying currency, and it is why an importer, an exporter or a grain trader with a dollar-denominated position can use one without touching an offshore account.
This is a reference, not advice. Contract terms are revised from time to time, so confirm anything you are about to trade on with the desk at info@derivative.co.za.
The listed rand pairs
| Currency | Code | Contract size | Tick | Tick value |
|---|---|---|---|---|
| US dollar | USDZAR | $1 000 | 0.0001 | R0.10 |
| Euro | EURZAR | €1 000 | 0.0001 | R0.10 |
| Pound sterling | GBPZAR | £1 000 | 0.0001 | R0.10 |
| Australian dollar | AUDZAR | A$1 000 | 0.0001 | R0.10 |
| Canadian dollar | CADZAR | C$1 000 | 0.0001 | R0.10 |
| Swiss franc | CHFZAR | CHF 1 000 | 0.0001 | R0.10 |
| Japanese yen | JPYZAR | ¥100 000 | 0.000001 | R0.10 |
| Chinese renminbi | CNHZAR | CNH 10 000 | 0.0001 | R1.00 |
| Norwegian krone | NOKZAR | NOK 10 000 | 0.0001 | R1.00 |
| Botswana pula | BWPZAR | BWP 10 000 | 0.0001 | R1.00 |
Scroll the table sideways to see every column.
The tick value falls straight out of the contract size, which is worth understanding rather than memorising: a contract of 1 000 units moving 0.0001 is R0.10, and one of 10 000 units moving the same 0.0001 is R1.00. The yen is the exception on the surface only — it is quoted to six decimals on a ¥100 000 contract, which lands in the same place at R0.10 a tick.
Everything else is common across the pairs. They are quoted in rand per one unit of foreign currency, they run on the quarterly cycle of March, June, September and December, and they are all cash settled in rand. Trading runs 08:00 to 18:30.
When they expire
Expiry is set to New York, not Johannesburg: 10h00 New York time, two business days before the third Wednesday of the expiry month — 16h00 in a South African winter, 17h00 in summer. The expiry price is not a single print but an average of the underlying spot taken every 30 seconds over the five minutes to 10h00, which makes it expensive to push and is the point of doing it that way.
Any-day contracts
Real exposures rarely fall due on the third Wednesday of a quarter. An any-day future solves that: it expires at 10h00 New York time on a business day you choose, so the hedge can be lined up with the actual date an invoice settles, a shipment lands or a payment clears.
Any-day contracts are available on the dollar, euro, sterling, Swiss franc and Australian dollar, on the same contract sizes and tick values as the quarterly contracts. For a hedger this is usually the more precise instrument — the standard cycle leaves a gap between when your cover ends and when your exposure does.
Options on the currency futures
| Underlying | The relevant currency futures contract, at the same contract size |
|---|---|
| Style | European — exercisable at expiry, not before |
| Types | Calls and puts, naked and delta options, and exotic structures |
| Contract months | March, June, September and December |
| Expiry | 10h00 New York time, two business days before the third Wednesday of the expiry month |
| Strike prices | In rand per one unit of foreign currency, at intervals from R0.01 |
| Premium quotation | Rand per currency futures contract. Delta trades are quoted in volatility to two decimals. |
| Premium calculation | Modified Black-Scholes |
| Settlement | Cash settled in rand |
The practical difference from the grain options is the exercise style. Grain options are American and can be exercised at any point; currency options are European and only at expiry. If the rate moves your way in month one of a three-month option, you capture that by trading out of the option, not by exercising it early.
The rest of the desk
Currency cover is often run alongside a commodity position rather than on its own — a dollar-priced import or an export receipt sits directly against a grain hedge. One account reaches all three markets.
Commodities
Our specialisation. Grain futures and options on SAFEX, plus metals, energy and rand-quanto contracts — see the SAFEX contract specifications.
Currency derivatives
This page. Ten listed rand pairs, options on the futures, and any-day contracts for dates that fall outside the quarterly cycle.
Equity derivatives
Index futures, single stock futures and dividend futures on the JSE — see the equity derivatives specifications.
Common questions
How many contracts cover a $250 000 exposure?
250. The dollar contract is $1 000 nominal, so contracts map one-for-one onto each thousand dollars of exposure — which makes sizing unusually clean compared with the grain board, where tonnage rarely divides evenly into contracts.
Do I need an offshore allowance to trade these?
No. They are rand-settled contracts on a South African exchange. You take the currency exposure without moving money offshore, which is the reason many South African businesses hedge this way rather than through an offshore account.
Can I hedge currency and grain through the same account?
Yes, and it is a common pairing. An export receipt in dollars against a SAFEX position is two halves of one risk, and running both through one desk means the hedge is sized against the actual net exposure rather than each leg in isolation.