Israel's foreign currency market in April 2011

Israel’s foreign currency market in April 2011
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Developments in the exchange rate––the shekel appreciated against the dollar in line with the weakening of
the dollar world wide
The shekel appreciated by about 2.5 percent against the dollar during April. At the same time, the dollar depreciated in April against most major currencies––by 4.1 percent against the euro, by 3.5 percent against the pound sterling, and by 1.6
percent against the Japanese yen.
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 0.06 percent.
The volatility of the exchange rate––the actual and the implied volatility of the exchange rate decreased in
The standard deviation of changes in the exchange rate, which represents its actual volatility, continued to decline in April,
 by about 1 percentage point and reached 5.4 percent.
The average level of the implied volatility in over the counter shekel-dollar options––an indication of expected exchange rate volatility––also declined, and averaged about 9.5 percent in April, compared with an average of 9.7 percent in March. For comparison, the implied volatility of the foreign exchange options of emerging markets also declined and averaged 10.3
percent in April, and the figure was stable for advanced economies.
The volume of trade in the foreign currency market––an increase in average trading volume, and an increase in nonresidents’ relative share of trade
The total volume of trade in foreign currency in April was about $110 billion, reflecting an increase in average daily turnover
to $6.4 billion, up from $5.3 billion in March.
The volume of trade in spot and forward transactions declined in April to $33 billion, compared with $42 billion in March and
about $45 billion in February. With that, the average daily trading volume in those transactions rose by 2 percent in April, compared with March, and reached $1.9 billion. The Bank of Israel bought about $1.3 billion of foreign currency in April[1].
The volume of trade in over the counter foreign currency options (which are not traded on the stock exchange) totaled about $10.5 billion in April, compared with about $12.5 billion in March. The average daily trading volume in those options rose
about 10 percent compared with March, to $600 million.
Trading volume of swap transactions was about $66 billion in April, an increase of 35 percent in average daily turnover, to
about $3.9 billion.
Nonresidents' share of total trade (spot and forward transactions, options and swaps) rose slightly in April to 50 percent of
total trade, compared with 47 percent in March. This reflected a drop in their share of spot and forward transactions, and an increase in nonresidents' share in swap transactions.
Nonresidents' share of trade in spot and forward transactions, continued to fall in April, to 10 percent, compared with 13
percent in March and 17 percent in February.
Nonresidents' share of trade in swap transactions, continued to increase in April, to 37%, compared with 29% in March.

Forex transactions with domestic banks, by instruments and derivatives ($ million)
    Conversions (1) Swapsa (2) Optionsb (3) Total volume of trade (1)+(2)+(3)
April-11 (Not final Total 32,951 66,333 10,513 109,797
Daily average (17-days) 1,938 3,902 618 6,459
Nonresidents 10,456 40,331 4,590 55,377
of which Foreign financial institutions 10,031 40,318 4,374 54,723
Residents 22,495 26,002 5,923 54,420
of which Real sector 9,589 2,936 2,575 15,100
Financial sector 4,275 7,167 1,461 12,903
Institutions (incl. insurance companies) 2,425 3,694 60 6,179
Individuals and provident funds 532 696 286 1,514
The Bank of Israel 1,295     1,295
Otherc 370 49 18 437
Domestic banksd 4,009 11,460 1,523 16,992
March-'11 Total 41,842 63,756 12,445 118,043
Daily average (22-days) 1,902 2,898 566 5,366
Nonresidents 15,528 34,203 5,829 55,560
of which Foreign financial institutions 15,276 34,193 5,796 55,265
Residents 26,314 29,553 6,616 62,483​
of which Real sector 10,085 4,076 3,122 17,283
Financial sector 6,247 9,497 926 16,670
Institutions (incl. insurance companies) 3,232 3,674 0 6,906
Individuals and provident funds 740 184 253 1,177
The Bank of Israel 200     200
Otherc 779 55 111 945
Domestic banksd 5,031 12,067 2,204 19,302
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
[1] This figure is different from what was reported in the latest press release on the foreign exchange reserves. The difference results from foreign exchange purchases totaling about $150 million by the Bank of Israel in the last days of March, the value dates of which were in April.