The ZSI tracks hedging activity in the market using data on FX derivatives pricing. It is a gauge of demand for negative or positive rand hedging among the most influential market participants.
The ZSI tends to lead the y/y change in the dollar/rand exchange rate by around 9 months such that positive rand sentiment (0.25 to 0.50) tends to be associated with subsequent rand appreciation of around 20% y/y, while negative rand sentiment (-0.25 to -0.50) tends to be associated with subsequent rand depreciation of around 20% y/y.