Israel's foreign currency market in November 2010

                                                                                                                                                                   08.12.2010
 
Israel’s foreign currency market in November 2010
 
Developments in the exchange rate––the shekel depreciated against the dollar as the dollar strengthened
around the world
The shekel depreciated by about 1.3 percent against the dollar during November, and appreciated by 4.7 percent against
the euro. Against the currencies of Israel's main trading partners, the nominal effective exchange rate of the shekel i.e, the
trade-weighted average shekel exchange rate against those currencies, strengthened by about 1.5 percent.
In November the dollar strengthened against most major currencies––by 6.2 percent against the euro, by 2.4 percent
against the pound sterling, and by 3.8 percent against the yen.
Since the beginning of 2010 the shekel has appreciated by 2.4 percent against the dollar, and by 12 percent against the
euro. In terms of the nominal effective exchange rate the shekel appreciated by 5.1 percent.
The volatility of the exchange rate––the actual volatility of the exchange rate declined in November, and the
implied volatility increased
The standard deviation of changes in the exchange rate, which represents its actual volatility, was 7.7 percent in November, compared with 8.5 percent in October.
The average level of the implied volatility in OTC (over the counter) forex options––an indication of expected exchange rate volatility––was about 9.6 percent in November, compared with an average of 8.1 percent in October. For comparison, the
implied volatility of the foreign exchange options of emerging markets averaged 12.8 percent in November, and of advanced economies, 12.5 percent.
There was a high volume of trade in Israel’s forex market in November, in all instruments, similar to the levels in October
The total volume of trade in foreign currency in November was about $131 billion, compared with about $136 billion in
October and an average monthly level of $100 billion in January–September 2010. The volume of trade in spots and forward transactions totaled about $37.5 billion, a daily average of about $1.7 billion, compared with a daily average of $2 billion in October. Nonresidents' transactions in spots and forwards totaled some $14 billion in November, accounting for 38 percent
of the trade in these instruments. The Bank of Israel did not purchase foreign currency in November.
The volume of trade in OTC foreign currency options (which are not traded on the stock exchange) totaled about $16 billion
in November, and the volume of swap transactions was about $78 billion.
Nonresidents' accounted for about 63 percent of the total volume of trade (spots and forward transactions, options and
swaps) in November, compared with 65 percent in October and 63 percent in September.
 




 
Forex transactions with domestic banks, by instruments and derivatives ($ million)
    Conversions (1) Swapsa (2) Optionsb (3) Total volume of trade (1)+(2)+(3)
November-10 (Not final) Total 37,528 77,835 16,061 131,424
Daily average (22-days) 1,706 3,538 730 5,974​
Nonresidents 14,204 59,116 9,393 82,713
of which Foreign financial institutions 11,840 49,134 8,775 69,749
Residents 23,324 18,719 6,668 48,711
of which Real sector 9,658 1,985 2,586 14,229
Financial sector 5,115 6,424 1,116 12,655
Institutions (incl. insurance companies) 2,092 2,370 133 4,595
Individuals and provident funds 749 244 279 1,272
The Bank of Israel 0     0
Otherc 480 74 257 811
Domestic banksd 5,230 7,622 2,297 15,149
           
October-10 Total 42,056 78,056 15,761 135,873
Daily average (21-days) 2,003 3,717 751 6,470
Nonresidents 16,279 62,436 9,436 88,151
of which Foreign financial institutions 13,491 55,842 8,803 78,136
Residents 25,777 15,620 6,325 47,722
of which Real sector 8,951 1,647 2,954 13,552
Financial sector 4,400 5,048 849 10,297
Institutions (incl. insurance companies) 2,321 2,081 30 4,432
Individuals and provident funds 787 414 288 1,489
The Bank of Israel 3,125     3,125
Otherc 917 64 237 1,218
Domestic banksd 5,276 6,366 1,967 13,609
 
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