1. The Exchange Rate
Strengthening of the shekel against the dollar and weakening against the euro, in parallel with a weakening of the dollar worldwide.
In March, the shekel strengthened by about 3.7 percent against the dollar, and weakened by about 0.7 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 strengthened by about 0.7 percent in March.
Worldwide, the dollar weakened significantly against most currencies in March: by 4.3 percent against the euro, by 4.2 percent against the Swiss franc, by 3.9 percent against the British pound, and by 0.5 percent against the Japanese yen.
2. Exchange Rate Volatility
A decline in actual volatility of the exchange rate, in parallel with a decline in implied volatility.
The standard deviation of changes in the shekel-dollar exchange rate, which represents its actual volatility, declined by about 0.3 percentage points in March, to 6.7 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––declined by about 0.5 percentage points, to 8.1 percent at the end of March.
In parallel, the implied volatility in foreign exchange options in emerging markets declined, to an average of about 11.0 percent in March, and the implied volatility in foreign exchange options in advanced economies declined, to an average of about 10.8 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 an increase nonresidents’ relative share of total trading volume.
The total volume of trade in foreign currency in March was about $165 billion, compared with about $160 billion in February. Average daily trading volume increased by about 3 percent, to about $7.9 billion.
The volume of trade in spot and forward transactions (conversions) was about $36 billion in March. Average daily trading volume in those transactions declined in March by about 2 percent compared with February.
The volume of trade in over the counter foreign currency options (which are not traded on the stock exchange) totaled about $7 billion in March. The average daily trading volume in those options was about $345 million in March, an increase of about 4 percent compared with February.
The trading volume of swap transactions was about $121 billion in March, compared with $114 billion in February. Average daily trading volume increased by about 6 percent from the previous month, to around $5.8 billion.
Nonresidents' share of total trade (spot and forward transactions, options and swaps) increased by about 2.9 percentage points, to about 34.2 percent at the end of March.