| 4.8.2009 |
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| Israel’s foreign currency market in July 2009 |
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The shekel appreciated against the dollar by about 3.3 percent in July 2009, and against the euro by about 3.4 percent. |
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Currency conversions totaled about $37 billion in July, similar to the average monthly amount since the beginning of the year. |
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The shekel exchange rate became less volatile in July than in previous months; expected volatility, reflected by the implied volatility of shekel/dollar options, was lower that in the previous month. |
| Exchange rate developments |
| In July 2009 the shekel appreciated against the dollar by about 3.3 percent, and against the euro by about 3.4 percent. The nominal effective exchange rate of the shekel, which shows the change in the exchange rate of the shekel against the currencies of Israel's main trading partners, showed shekel appreciation of 2.9 percent. The background to the appreciation of the shekel in July was the worldwide weakening of the dollar against most major currencies. |
| Since the beginning of 2009 the shekel appreciated against the dollar by about 0.3 percent, it depreciated against the euro by about 0.9 percent, and in terms of the nominal effective exchange rate it depreciated by about 1.5 percent. |
| The volume of trade in Israel's forex market |
| The volume of foreign currency conversions totaled about $37 billion in July 2009, slightly lower than the $38 billion in June, and slightly above the average monthly amount of $36 billion since the beginning of the year. Over-the-counter (OTC) options (not traded in the stock exchange) totaled about $11 billion, compared with $10 billion in June. |
| The volume of swap transactions continued at a higher level than that in the first few months of the year, and totaled about $52 billion (compared with $51 billion in June). As usual, most of this consisted of transactions by foreign financial institutions, which totaled about $42 billion. |
| Nonresidents' share of total turnover (conversions, options and swaps) rose from 59 percent in June to about 61 percent in July. |
| The standard deviation of the change in the exchange rate |
| The standard deviation of changes in the exchange rate, which represents the actual volatility of the exchange rate, declined to about 10 percent in July, compared with 14 percent in June, and compared with a monthly average of about 12 percent since the beginning of the year. The implied volatility in OTC forex options––an indication of the expected exchange rate volatility––averaged about 12 percent in July, down from 13 percent in June. For comparison, the implied volatility of forex options of the emerging markets in July was 15 percent, and of the advanced economies, 14 percent. |
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Forex transactions with domestic banks, by instruments and derivatives
($ million) |
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Conversions (1) |
Swapsa (2) |
Optionsb (3) |
Total volume of trade (1)+(2)+(3) |
| jul - 09 (Not final) |
Total |
37,217 |
52,347 |
10,670 |
100,234 |
| Daily average (22-days) |
1,692 |
2,379 |
485 |
4,556 |
| Nonresidents |
14,303 |
42,409 |
4,049 |
60,761 |
| of which Foreign financial institutions |
14,028 |
42,259 |
4,012 |
60,299 |
| Residents |
22,914 |
9,938 |
6,621 |
39,473 |
| of which Business sector |
9,691 |
5,468 |
2,777 |
17,936 |
| Institutions (incl. insurance companies) |
659 |
777 |
319 |
1,755 |
| Individuals and provident funds |
1,041 |
114 |
643 |
1,798 |
| Otherc |
5,185 |
359 |
395 |
5,939 |
| Domestic banksd |
6,338 |
3,220 |
2,487 |
12,045 |
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| june 2009 |
Total |
37,792 |
50,812 |
9,956 |
98,560 |
| Daily average (22-days) |
1,718 |
2,310 |
453 |
4,480 |
| Nonresidents |
12,205 |
41,499 |
4,121 |
57,825 |
| of which Foreign financial institutions |
11,870 |
41,347 |
4,004 |
57,221 |
| Residents |
25,587 |
9,313 |
5,835 |
40,735 |
| of which Business sector |
11,437 |
5,486 |
2,723 |
19,646 |
| Institutions (incl. insurance companies) |
1,261 |
716 |
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1,985 |
| Individuals and provident funds |
1,291 |
130 |
399 |
1,820 |
| Otherc |
4,936 |
284 |
381 |
5,601 |
| Domestic banksd |
6,662 |
2,697 |
2,324 |
11,683 |
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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 the Bank of Israel and 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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