| 08.09.2011 |
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| Israel’s foreign currency market in August 2011 |
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| To view this press release as a WORD file - Click here |
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Developments in the exchange rate––the dollar appreciated against the shekel and against most other
currencies, but weakened against the euro and Japanese yen |
The shekel depreciated by about 3.7 percent against the dollar during August, and depreciated by 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 depreciated by about 3.7
percent. |
| In August, the dollar weakened against the euro and Japanese yen by 1.3 percent, but strengthened against most other currencies, including 0.7 percent against the Swiss franc. |
The volatility of the shekel exchange rate––the actual and the implied volatility of the exchange rate increased
in August |
The standard deviation of changes in the shekel exchange rate, which represents its actual volatility, increased in August
to about 11.2 percent, compared with 9.1 percent in July. |
The average level of the implied volatility in over the counter shekel-dollar options––an indication of expected exchange rate volatility––also increased, and averaged about 12.4 percent in August, compared with an average of 11.2 percent in July.
For comparison, the implied volatility of foreign exchange options in both emerging markets and advanced economies also
rose, to 13.1 percent and 14.9 percent, respectively. |
The volume of trade in the foreign currency market––an increase in trading volume in swap transactions and in
spot and forward transactions, along with a decline in nonresidents' share of total trade volume |
The total volume of trade in foreign currency in August was about $134 billion, compared with $117 billion in July and
$129 billion in June. Average daily turnover was $6 billion, compared with $5.6 billion in July and $6.2 billion in June. |
The volume of trade in spot and forward transactions (conversions) was $48 billion in August, compared with $38
billion in July. The average daily trading volume in those transactions increased by about 23 percent in August, compared
with the average in July, and reached $2.2 billion. |
The volume of trade in over the counter foreign currency options (which are not traded on the stock exchange) totaled about $11.3 billion in August, compared with about $13.8 billion in July. The average daily trading volume in those options
fell by about 21 percent compared with the July level, to $515 million. |
Trading volume of swap transactions increased by 13 percent to about $74 billion in August, from $65 billion in July.
Average daily turnover increased by 8 percent to about $3.4 billion. |
| Nonresidents' share of total trade (spot and forward transactions, options and swaps) contracted by about 4 percentage points in August, to 43 percent of total trade. |
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| Forex transactions with domestic banks, by instruments and derivatives ($ million) |
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Conversions (1) |
Swapsa (2) |
Optionsb (3) |
Total volume of trade (1)+(2)+(3) |
| August-11 (Not final) |
Total |
48,449 |
73,809 |
11,338 |
133,596 |
| Daily average (22 days) |
2,202 |
3,355 |
515 |
6,073 |
| Nonresidents |
15,951 |
36,044 |
4,974 |
56,969 |
| of which Foreign financial institutions |
15,406 |
34,701 |
4,299 |
54,406 |
| Residents |
32,497 |
37,765 |
6,365 |
76,627 |
| of which Real sector |
10,786 |
2,583 |
3,031 |
16,400 |
| Financial sector |
7,329 |
18,276 |
696 |
26,302 |
| Institutions (incl. insurance companies) |
4,152 |
2,226 |
150 |
6,528 |
| Individuals and provident funds |
959 |
871 |
424 |
2,254 |
| The Bank of Israel |
0 |
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0 |
| Otherc |
612 |
16 |
163 |
791 |
| Domestic banksd |
8,659 |
13,792 |
1,900 |
24,351 |
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| July- '11 |
Total |
37,529 |
65,492 |
13,756 |
116,777 |
| Daily average (21-days) |
1,787 |
3,119 |
655 |
5,561 |
| Nonresidents |
12,963 |
34,483 |
7,258 |
54,705 |
| of which Foreign financial institutions |
12,562 |
33,236 |
6,855 |
52,654 |
| Residents |
24,566 |
31,009 |
6,498 |
62,072 |
| of which Real sector |
8,729 |
1,710 |
3,162 |
13,601 |
| Financial sector |
5,196 |
14,218 |
1,049 |
20,464 |
| Institutions (incl. insurance companies) |
2,797 |
3,135 |
100 |
6,032 |
| Individuals and provident funds |
870 |
584 |
251 |
1,705 |
| The Bank of Israel |
225 |
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225 |
| Otherc |
498 |
47 |
53 |
598 |
| Domestic banksd |
6,250 |
11,314 |
1,883 |
19,447 |
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| a Only one leg of the swap, i.e., the nominal value of the transaction (in accordance with the BIS definition). |
| b The notional value, that includes purchases and sales of put and call options. |
| c Including other entities such as portfolio managers, nonprofit organizations, national institutions, and those not included elsewhere. |
| d Total interbank trade, divided by 22 |
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