Graphs & Data 1. The Exchange Rate
Weakening of the shekel against the dollar alongside a mixed trend for the dollar worldwide.
In August, the shekel weakened by about 3.9 percent against the dollar, and by 6.5 percent against the euro.
Against the currencies of Israel's main trading partners, in terms of the nominal effective exchange rate of the shekel (i.e., the trade-weighted average shekel exchange rate against those currencies), the shekel weakened by 3.8 percent in August.
In August, there was a mixed trend for the dollar against major currencies—the dollar strengthened by about 1.1 percent against the British pound, while the dollar weakened by about 0.1 percent against the Swiss franc, by about 2.4 percent against the euro, and by about 2.3 percent against the Japanese yen.
2. Exchange Rate Volatility
An increase in actual volatility of the exchange rate, in parallel with an increase in the implied volatility of the exchange rate.
The standard deviation of changes in the shekel-dollar exchange rate, which represents its actual volatility, increased by about 1.9 percentage points in August, to 7.8 percent at the end of the month.
The average level of implied volatility in over the counter shekel-dollar options––an indication of expected exchange rate volatility––increased by about 0.5 percentage points, to 9.4 percent at the end of August.
The implied volatility in foreign exchange options in emerging markets increased to 11.1 percent in August, from 10.1 percent in July. In contrast, the implied volatility in foreign exchange options in advanced economies was unchanged at about 9.8 percent at the end of the month (Figure 4).
3. The Volume of Trade in the Foreign Currency Market
Average daily trading volume increased, in parallel with stability in nonresidents’ relative share of total trading volume.
The total volume of trade in foreign currency in August was about $160 billion, compared with about $134 billion in July. Average daily trading volume increased by about 31 percent, to about $7.6 billion.
The volume of trade in spot and forward transactions (conversions) was about $52 billion in August. Average daily trading volume in those transactions increased in August by about 43 percent compared with July.
The volume of trade in over the counter foreign currency options (which are not traded on the stock exchange) totaled about $8.5 billion in August. The average daily trading volume in those options was about $404 million in August, an increase of about 54 percent compared with July.
The trading volume of swap transactions was about $99 billion in August, compared with $88 billion in July. Average daily trading volume increased by about 24 percent from the previous month, to around $4.7 billion.
Nonresidents' share of total trade (spot and forward transactions, options and swaps) was stable compared with August, at about 33.9 percent.
Forex transactions with domestic banks, by instruments and sectors ($ million)
Conversions (1) |
Swaps[1] (2) |
Cross Currency swap[2] (3) |
Options[3] (4) |
Total volume of trade (1)+(2)+(3)+(4) | ||
August
2015
(Not final) |
Total |
52,440 |
99,198 |
225 |
8,477 |
160,340 |
Daily average (21 days) |
2,497 |
4,724 |
11 |
404 |
7,635 | |
Nonresidents |
19,215 |
31,888 |
150 |
3,120 |
54,373 | |
of which Foreign financial institutions |
18,126 |
31,242 |
150 |
2,716 |
52,234 | |
Residents |
33,225 |
67,310 |
75 |
5,357 |
105,967 | |
of which Real sector |
7,407 |
6,132 |
0 |
2,228 |
15,767 | |
Financial sector |
2,633 |
12,653 |
0 |
73 |
15,359 | |
Institutions (incl. insurance companies) |
6,521 |
10,328 |
0 |
116 |
16,965 | |
Individuals and provident funds |
2,237 |
2,280 |
0 |
413 |
4,930 | |
Other[4] |
8,748 |
27,891 |
0 |
1,392 |
38,031 | |
Domestic banks[5] |
5,679 |
8,026 |
75 |
1,135 |
14,915 | |
July
2015 |
Total |
40,191 |
87,903 |
60 |
6,013 |
134,167 |
Daily average (23 days) |
1,747 |
3,822 |
3 |
261 |
5,833 | |
Nonresidents |
12,544 |
30,902 |
60 |
2,216 |
45,722 | |
of which Foreign financial institutions |
11,399 |
29,780 |
60 |
2,009 |
43,248 | |
Residents |
27,647 |
57,001 |
0 |
3,797 |
88,445 | |
of which Real sector |
7,624 |
7,264 |
0 |
1,529 |
16,417 | |
Financial sector |
1,914 |
10,493 |
0 |
603 |
13,010 | |
Institutions (incl. insurance companies) |
6,496 |
8,575 |
0 |
163 |
15,234 | |
Individuals and provident funds |
1,629 |
2,434 |
0 |
431 |
4,494 | |
Other4 |
6,409 |
21,447 |
0 |
673 |
28,529 | |
Domestic banks5 |
3,575 |
6,788 |
0 |
398 |
10,761 |
[1] Only one leg of the swap, i.e., the nominal value of the transaction (in accordance with the BIS definition)
[2] The exchanged founds through Cross Currency Swap transactions considered for the volume, as one leg only in cases where the two legs offset each other.
[4] Including other entities such as portfolio managers, nonprofit organizations, national institutions, and those not include elsewhere.