Israel’s foreign currency market in June 2015

Graphs & Data​

 
1. The Exchange Rate
Strengthening of the shekel against the dollar in parallel with weakening of the dollar worldwide.
 
In June, the shekel strengthened by about 2.8 percent against the dollar. The shekel strengthened by about 0.7 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 2 percent in June.
In June, the dollar weakened against most major currencies—by about 2.1 percent against the euro, by about 1.4 percent against the Swiss franc, by about 2.7 percent against the British pound and by about 1.2 percent against the Japanese yen.
 
2. Exchange Rate Volatility
An increase in actual volatility of the exchange rate, in parallel with a decline in the implied volatility of the exchange rate.
 
The standard deviation of changes in the shekel-dollar exchange rate, which represents its actual volatility, increased in June by about 1.9 percentage points, to 8.5 percent at the end of the month.
The average level of implied volatility in over the counter shekel-dollar options––an indication of expected exchange rate volatility––declined to 9.8 percent at the end of June.
The implied volatility in foreign exchange options in emerging markets remained unchanged at 10.6 percent in June, and the implied volatility in foreign exchange options in advanced economies also remained unchanged, at about 10.1 percent at the end of the month (Figure 4).
 
3. The Volume of Trade in the Foreign Currency Market
Average daily trading volume increased, in parallel with stability in nonresidents’ relative share of total trading.
 
The total volume of trade in foreign currency in June was about $134 billion, compared with about $101 billion in May. Average daily trading volume increased by about 20 percent, to about $6 billion.
 
                                             
The volume of trade in spot and forward transactions (conversions) was about $48 billion in June. Average daily trading volume in those transactions increased in June by about 33 percent compared with May.
 
The volume of trade in over the counter foreign currency options (which are not traded on the stock exchange) totaled about $7 billion in June. The average daily trading volume in those options was about $325 million in June, an increase of about 7 percent from May.
 
The trading volume of swap transactions was about $78 billion in June, compared with $61 billion in May. Average daily turnover increased by about 15 percent from the previous month, to around $3.5 billion.
 
Nonresidents' share of total trade (spot and forward transactions, options and swaps) was essentially unchanged in June, at about 34 percent.
 
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