| 08.11.2011 |
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| Israel’s foreign currency market in October 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 shekel appreciated against the dollar in line with the weakening of
the dollar around the world |
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The shekel appreciated by about 2.9 percent against the dollar during October, and remained basically unchanged 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 appreciated by about 1 percent. |
| The dollar weakened by 3 percent against the euro, and by 2.5 percent against the pound sterling, but against the yen it strengthened by about 2 percent. |
The volatility of the shekel exchange rate––the actual and the implied volatility of the exchange rate decreased
in October |
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The standard deviation of changes in the shekel exchange rate, which represents its actual volatility, decreased in October
to about 9.4 percent, compared with 9.7 percent in September. |
| The average level of the implied volatility in over the counter shekel-dollar options––an indication of expected exchange rate volatility––also declined in October, to 11.3 percent, compared with 12.4 percent in September. For comparison, the implied volatility of foreign exchange options in emerging markets in October was 17.3 percent, compared with 15.5 percent in September, and that in advanced economies was 14.1 percent, close with 14 percent in September. |
| The volume of trade in the foreign currency market––the total volume of trade declined in October, with nonresidents accounting for an increased share of the total. |
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The total volume of trade in foreign currency in October was about $118 billion, compared with $132 billion in
September. Average daily turnover fell in October to about $6.5 billion, down from $7 billion in September. |
The volume of trade in spot and forward transactions (conversions) was about $35.5 billion in October, compared
with $46.3 billion in September. The average daily trading volume in those transactions dropped by about 20 percent in
October from its September level, and reached $2 billion. |
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The volume of trade in over the counter foreign currency options (which are not traded on the stock exchange) totaled about $8.6 billion in October, compared with about $11.1 billion in September. The average daily trading volume in those
options dropped by about 18 percent compared with the September level, to $479 million. |
The trading volume of swap transactions dipped from about $75 billion in September to $74 billion in October. Average
daily turnover increased by about 4 percent to about $4.1 billion. |
Nonresidents' share of total trade (spot and forward transactions, options and swaps) increased in October, reversing
the trend of the previous quarter and reached 43 percent, compared with 41 percent in September, 43 percent in August,
and 47 percent in July. |
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| Forex transactions with domestic banks, by instruments and derivatives ($ million) |
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Conversions (1) |
Swapsa (2) |
Optionsb (3) |
Total volume of trade (1)+(2)+(3) |
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| B1אוקטובר-11 |
Total |
35,511 |
73,686 |
8,618 |
117,815 |
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| (Not final) |
Daily average (18 days) |
1,973 |
4,094 |
479 |
6,545 |
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Nonresidents |
11,232 |
35,386 |
4,554 |
51,172 |
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of which Foreign financial institutions |
10,640 |
33,349 |
4,433 |
48,422 |
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Residents |
24,279 |
38,300 |
4,064 |
66,643 |
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of which Real sector |
8,212 |
2,032 |
1,831 |
12,075 |
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Financial sector |
6,845 |
21,205 |
591 |
28,641 |
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Institutions (incl. insurance companies) |
3,340 |
2,335 |
152 |
5,827 |
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Individuals and provident funds |
505 |
749 |
199 |
1,453 |
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The Bank of Israel |
0 |
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0 |
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Otherc |
284 |
14 |
155 |
453 |
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Domestic banksd |
5,093 |
11,965 |
1,136 |
18,194 |
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| B1ספטמבר-11 |
Total |
46,314 |
75,026 |
11,137 |
132,477 |
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| Daily average (19 days) |
2,438 |
3,949 |
586 |
6,972 |
| Nonresidents |
15,844 |
33,568 |
5,460 |
54,872 |
| of which Foreign financial institutions |
14,949 |
32,822 |
5,240 |
53,011 |
| Residents |
30,470 |
41,458 |
5,677 |
77,605 |
| of which Real sector |
9,814 |
1,764 |
2,235 |
13,813 |
| Financial sector |
8,251 |
25,517 |
1,618 |
35,386 |
| Institutions (incl. insurance companies) |
2,746 |
3,779 |
0 |
6,525 |
| Individuals and provident funds |
728 |
263 |
502 |
1,493 |
| The Bank of Israel |
0 |
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0 |
| Otherc |
449 |
10 |
61 |
520 |
| Domestic banksd |
8,482 |
10,125 |
1,261 |
19,868 |
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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). |
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b The notional value, that includes purchases and sales of put and call options. |
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c Including other entities such as portfolio managers, nonprofit organizations, national institutions, and those not included elsewhere. |
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d Total interbank trade, divided by 22 |
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