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Data & Graphs
1. The Exchange Rate
The shekel strengthened against the dollar, in parallel with the dollar's weakness against global currencies.
The shekel appreciated by about 0.5 percent against the dollar, and weakened by about 0.6 percent against the euro during October. 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 about 0.1 percent.
In October, the dollar weakened against most global currencies—including by about 0.2 percent against the Swiss franc and by about 1 percent against the euro, but strengthened by about 0.7 percent against the Japanese yen, and by about 0.5 percent against the British pound.
2. Exchange Rate Volatility
Actual volatility of the exchange rate decreased in parallel with its implied volatility.
The standard deviation of changes in the shekel-dollar exchange rate, which represents its actual volatility, declined sharply in October, by about 5.6 percentage points to 4 percent, compared with 9.6 percent in September.
The average level of implied volatility in over the counter shekel-dollar options––an indication of expected exchange rate volatility––declined to 8.6 percent at the end of October, compared with 9.9 percent in September.
In October, the implied volatility in foreign exchange options in emerging markets also declined, reaching 9.6 percent on average, compared with 10.9 percent in September. The implied volatility in foreign exchange options in advanced economies declined to 8 percent in October, compared with 9 percent in September.
3. The Volume of Trade in the Foreign Currency Market
Average daily trading volume declined.
The total volume of trade in foreign currency in October was about $90 billion, compared with about $69 billion in September. Average daily trading volume declined by about 16 percent in October, and reached about $3.9 billion.
The volume of trade in spot and forward transactions (conversions) was about $32 billion in October, compared with $27 billion in September. The average daily trading volume in those transactions declined in October by about 23 percent compared with September. During October, the Bank of Israel bought $560 million through conversion transactions[1], of which $260 million were bought 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 $7.5 billion in October. The average daily trading volume in those options in October was $327 million, a decline of about 20 percent from its level in September.
The trading volume of swap transactions was about $50 billion in October. Average daily turnover declined from the previous month, to around $2.2 billion.
Nonresidents' share of total trade (spot and forward transactions, options and swaps) remained unchanged in October from the previous month, at about 40 percent.
[1] This figure reflects transactions by trade date, not settlement date. Therefore, it is not necessarily identical to the data published in the foreign exchange reserves notice, which reflects transactions by settlement date.
Forex transactions with domestic banks, by instruments and sectors ($ million)
Conversions (1) |
Swaps1 (2) |
Cross Currency swap5 (3) |
Options2 (4) |
Total volume of trade (1)+(2)+(3)+(4) | ||||
Oct-13
(Not final) |
Total |
32,298 |
49,946 |
238 |
7,517 |
89,999 | ||
Daily average (21 days) |
1,404 |
2,172 |
10 |
327 |
3,913 | |||
Nonresidents |
11,257 |
21,656 |
170 |
2,754 |
35,837 | |||
of which Foreign financial institutions |
10,493 |
21,614 |
170 |
2,657 |
34,934 | |||
Residents |
21,041 |
28,290 |
68 |
4,763 |
54,162 | |||
of which Real sector |
6,078 |
4,122 |
58 |
1,909 |
12,167 | |||
Financial sector |
4,166 |
8,647 |
0 |
1,595 |
14,408 | |||
Institutions (incl. insurance companies) |
3,172 |
6,170 |
10 |
78 |
9,430 | |||
Individuals and provident funds |
691 |
406 |
0 |
254 |
1,351 | |||
The Bank of Israel |
560 |
0 |
0 |
0 |
560 | |||
of which: Within the program to offset the effect of natural gas production |
260 |
0 |
0 |
0 |
260 | |||
Other 3 |
3,230 |
39 |
0 |
139 |
3,408 | |||
Domestic banks4 |
3,144 |
8,906 |
0 |
788 |
12,838 | |||
Sep-13 |
Total |
27,305 |
36,216 |
45 |
6,168 |
69,734 | ||
Daily average (20 days) |
1,820 |
2,414 |
3 |
411 |
4,649 | |||
Nonresidents |
8,995 |
15,520 |
25 |
3,562 |
28,102 | |||
of which Foreign financial institutions |
8,355 |
15,449 |
25 |
3,329 |
27,158 | |||
Residents |
18,310 |
20,696 |
20 |
2,606 |
41,632 | |||
of which Real sector |
5,268 |
3,479 |
0 |
1,398 |
10,145 | |||
Financial sector |
3,834 |
6,470 |
0 |
262 |
10,566 | |||
Institutions (incl. insurance companies) |
1,322 |
3,990 |
20 |
37 |
5,369 | |||
Individuals and provident funds |
599 |
112 |
0 |
197 |
908 | |||
The Bank of Israel |
895 |
0 |
0 |
0 |
895 | |||
of which: Within the program to offset the effect of natural gas production |
295 |
0 |
0 |
0 |
295 | |||
Other 3 |
3,052 |
20 |
0 |
15 |
3,087 | |||
Domestic banks4 |
3,340 |
6,625 |
0 |
697 |
10,662 | |||
1 Only one leg of the swap, i.e., the nominal value of the transaction (in accordance with the BIS definition). |
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2 The notional value, that includes purchases and sales of put and call options. |
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3 Including other entities such as portfolio managers, nonprofit organizations, national institutions, and those not included elsewhere. |
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4 Total interbank trade, divided by 2 |
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5 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. |
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