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Graphs & Data1. The Exchange Rate
The dollar strengthened against the shekel, in parallel with the dollar's strength against global currencies.
The shekel weakened by about 0.1 percent against the dollar, and was unchanged against the euro during November. 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 0.4 percent.
In November, the dollar strengthened against most global currencies—including by about 0.1 percent against the Swiss franc and by about 0.1 percent against the euro, and by about 4.1 percent against the Japanese yen, but weakened by about 1.6 percent against the British pound.
2. Exchange Rate Volatility
Actual volatility of the exchange rate increased, in contrast with a decline in its implied volatility.
The standard deviation of changes in the shekel-dollar exchange rate, which represents its actual volatility, increased in November by about 0.7 percentage points to 4.7 percent.
The average level of implied volatility in over the counter shekel-dollar options––an indication of expected exchange rate volatility––declined to 8.2 percent at the end of November, compared with 8.6 percent in October.
In November, the implied volatility in foreign exchange options in emerging markets also declined, reaching 9.1 percent on average, compared with 9.6 percent in October. The implied volatility in foreign exchange options in advanced economies declined to 7.8 percent in November, compared with 8 percent in October.
3. The Volume of Trade in the Foreign Currency Market
Average daily trading volume declined, in parallel with a decline in non-residents’ share of total trading volume
The total volume of trade in foreign currency in November was about $80 billion, compared with about $90 billion in October. Average daily trading volume declined by about 3 percent in November, and reached about $3.8 billion.
The volume of trade in spot and forward transactions (conversions) was about $31 billion in November, compared with $32 billion in October. The average daily trading volume in those transactions increased in November by about 6 percent compared with October. During November, the Bank of Israel bought $270 million through conversion transactions[1], as part of the purchase program intended to offset the effect of natural gas production on the exchange rate.
The volume of trade in over the counter foreign currency options (which are not traded on the stock exchange) totaled about $11 billion in November. The average daily trading volume in those options in November was $527 million, an increase of about 60 percent from its level in October.
The trading volume of swap transactions was about $37 billion in November. Average daily turnover declined from the previous month, to around $1.8 billion.
Nonresidents' share of total trade (spot and forward transactions, options and swaps) declined in November from the previous month, to about 38 percent.
[1] This figure reflects transactions by trade date, not settlement date. Therefore, it is not necessarily identical to the data published in the foreign exchange reserves notice, which reflects transactions by settlement date.
Forex transactions with domestic banks, by instruments and sectors
($ million)
Conversions (1) |
Swaps[1] (2) |
Cross Currency swap[2] (3) |
Options[3] (4) |
Total volume of trade (1)+(2)+(3)+(4) | ||
November
2013
(Not final) |
Total |
31,372 |
36,785 |
979 |
11,074 |
80,210 |
Daily average (21 days) |
1,494 |
1,752 |
47 |
527 |
3,820 | |
Nonresidents |
13,024 |
12,208 |
160 |
4,897 |
30,289 | |
of which Foreign financial institutions |
12,299 |
12,191 |
160 |
4,771 |
29,421 | |
Residents |
18,348 |
24,577 |
819 |
6,177 |
49,921 | |
of which Real sector |
5,784 |
3,989 |
0 |
1,826 |
11,599 | |
Financial sector |
3,310 |
7,767 |
182 |
1,351 |
12,610 | |
Institutions (incl. insurance companies) |
1,823 |
4,336 |
0 |
60 |
6,219 | |
Individuals and provident funds |
510 |
219 |
0 |
274 |
1,003 | |
The Bank of Israel |
270 |
0 |
0 |
0 |
270 | |
of which within the program to offset the gas effect |
270 |
0 |
0 |
0 |
270 | |
Other[4] |
2,986 |
49 |
150 |
1,122 |
4,307 | |
Domestic banks[5] |
3,665 |
8,217 |
487 |
1,544 |
13,913 | |
October 2013 |
Total |
32,494 |
50,213 |
269 |
7,579 |
90,555 |
Daily average (23 days) |
1,413 |
2,183 |
12 |
330 |
3,937 | |
Nonresidents |
11,410 |
21,762 |
170 |
2,798 |
36,140 | |
of which Foreign financial institutions |
10,646 |
21,720 |
170 |
2,701 |
35,237 | |
Residents |
21,084 |
28,451 |
99 |
4,781 |
54,415 | |
of which Real sector |
6,091 |
4,107 |
58 |
1,927 |
12,183 | |
Financial sector |
4,292 |
8,384 |
0 |
1,595 |
14,271 | |
Institutions (incl. insurance companies) |
3,246 |
6,486 |
10 |
78 |
9,820 | |
Individuals and provident funds |
514 |
459 |
0 |
254 |
1,227 | |
The Bank of Israel |
560 |
0 |
0 |
0 |
560 | |
of which within the program to offset the gas effect |
260 |
0 |
0 |
0 |
260 | |
Other4 |
3,217 |
39 |
0 |
139 |
3,395 | |
Domestic banks5 |
3,164 |
8,976 |
31 |
788 |
12,959 |
[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.