Of the non-oil commodity exporters, NZD and ZAR should be the weakest. New Zealand's current account deficit will probably balloon from -4% to at least -6% in the months to come on lower dairy prices and still-strong import volumes.  For the whole of 2015, trade gap increased to 3.55 NZD billion compared to 1.20 NZD billion in 2014 and hitting its highest deficit since 2008.

New Zealand's economy has traditionally been based on a foundation of exports from its very efficient agricultural system: dairy products, meat, forest products, fruit and beverages. New Zealand imports mainly vehicles, machinery and equipment, petroleum, electronics, plastics and aircraft. Its main trading partners are: China, Australia, the US, Japan and South Korea.

In addition, the RBNZ will probably may ease twice more due to a slowing economy and below-target inflation.

Thereby, NZD should weaken again on rate compression from both sides as the Fed hikes and RBNZ eases another 50bp (only 25bp is priced). Fed hike may perhaps be deferred on hints of global slowdown.The newer theme is material deterioration in the current account deficit from -3.5% to -6% or -7% (just shy of the record -8%) on a low household saving rate and falling dairy prices.

On hedging grounds, the recommendation is to go long in 1M at the money -0.49 delta put and simultaneously short 1W (1%) out of the money call with positive theta value and delta close to zero.

The value of an option for every point's movement in the underlying is constantly changing. The Delta can be used to measure the value of an option as the market moves. This is useful to monitor directional risk so you may know how much your option's value will increase or diminish as the underlying market moves.