u cld be right... just looked at the spot quotes from all banks on BB, they're pretty wide... not directly conclusive but... how liquid is ZAR, any idea?
Oanda is at 60 pips spread now. However, the real problem with the "good old CME future" on ZAR isn't the spread. It's the liquidity... using this term rather charitably. Yesterday: Volume = 44 contracts (less than $3M) Friday, Oct. 27: Vol. = 150 http://www.cme.com/html.wrap/wrappedpages/end_of_day/daily_settlement_prices/ra.html?h=1 Simply put, it's one of the least liquid futures contracts in the world, currency or otherwise. Hardly tradable on anything but longer time frames. Too bad, given an apparently nice technical tradability, coupled with the extreme volatility of the underlying USD/ZAR pair. 1,300-1,400 pips daily ATR, or 1.7-1.9%... greater than virtually any other major or minor pair, by far. Almost as volatile as Gold (about 2% daily ATR).
It really is a pitty that the CME doesn't make the ZAR future more liquid. Just look at the Mexican Peso Future in comparison - pretty tight and liquid for such a currency pair... It would be interesting to know what the spreads on BB for ZAR are like. Is 60 pips really the best deal available right now ?