1. The Exchange Rate


Strengthening of the shekel, further to the long-term trend.

During the course of the fourth quarter, the shekel strengthened by approximately 6.6 percent against the dollar, further to the long-term trend. In parallel, the shekel strengthened by about 2.0 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 approximately 3.4 percent, further to the long-term trend. 

The dollar weakened in the fourth quarter against major currencies—including the euro (4.6 percent), the British pound (6.2 percent), and the Japanese yen (2.5 percent), further to its weakening against those currencies in the previous quarter (Figure 2).​

2. Exchange Rate Volatility


A decline in actual volatility in parallel with a slight increase in implied volatility.

The standard deviation of changes in the shekel/dollar exchange rate, which represents its actual volatility, declined to an average level of 4.6 percent during the fourth quarter of 2020, further to the decline in the previous quarter (see Figure 3).

The average implied volatility in over the counter shekel/dollar options, an indication of expected exchange rate volatility, increased slightly during the quarter, to an average level of 6.3 percent.

The implied volatility in foreign exchange options in emerging markets during the quarter was 10.8 percent. The average level of implied volatility in developed markets during the quarter was 7.7 percent, a decline of 0.5 percentage points compared with the previous quarter (Figure 4).

3. The Activity of the Main Segments in the Foreign Exchange Market[1]

An estimate of the activity of the main segments in the foreign exchange market indicates that during the course of the fourth quarter of 2020, most segments continued with the trends of the third quarter. Institutional investors (pension funds, provident funds, and insurance companies) had net sales of foreign exchange totaling about $5.2 billion and nonresidents increased net foreign exchange sales to about $6.2 billion. In contrast, the business sector continued its net purchases of foreign currency, totaling about $1.8 billion.


4. The Volume of Trade[2] in the Foreign Exchange Market—tables and figures


The average daily trading volume declined by about 14 percent during the quarter, to about $6.8 billion, with the decline derived mainly from a decrease in daily trading volume in swaps.

Nonresidents' share of total trading volume (spot and forward transactions, options and swaps) decreased by about 2.2 percentage points to about 41.0 percent at the end of the fourth quarter.

Full press release, including graphs and data


[1] The main segments presented do not make up the entire market—for additional information, see the section on “Dataset of foreign exchange market activity” in the Bank of Israel's "Statistical Bulletin" for 2018 :


[2] Volumes of trade only vis-à-vis the domestic banking system. From the beginning of 2020, the data do not include branches of foreign banks in Israel.​