Israel's foreign currency market in April 2012

                                                                                                                                                                  08.05.2012
 
Israel’s foreign currency market in April 2012
 
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1. The Exchange Rate
The shekel weakened against the dollar, while the dollar was mixed against global currencies
The shekel depreciated by about 0.94 percent against the dollar during April, and depreciated by about 0.1 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 weakened by about
0.82 percent.
In April, the dollar was mixed against most major currencies in the world, strengthening 0.8 percent against the euro and by
0.5 percent against the Swiss franc, while weakening 1.6 percent against the pound sterling and by 2.36 percent against the Japanese yen.
2. Exchange Rate Volatility
Actual volatility and implied volatility of the exchange rate decreased
The standard deviation of changes in the shekel-dollar exchange rate, which represents its actual volatility, decreased in
April to 3.75 percent, compared with 5.48 percent in March.
The average level of the implied volatility in over the counter shekel-dollar options––an indication of expected exchange rate volatility––declined in April, to 8.7 percent, compared with 9.7 percent in March.
For comparison, the implied volatility of foreign exchange options in emerging markets in April was 11.22 percent, down from 11.75 percent in March, and that in advanced economies was 9.76 percent, down from 10.3 percent in March.
3. The Volume of Trade in the Foreign Currency Market
There was an increase average daily volume, along with an increase in nonresidents' share of trading volume
The total volume of trade in foreign currency in April was about $99.4 billion. Average daily turnover increased about
11 percent in April, and reached about $5.8 billion.
The volume of trade in spot and forward transactions (conversions) was about $28.2 billion in April, compared with
$34.8 billion in March. The average daily trading volume in those transactions declined in April by about 4.6 percent,
compared with March, to $1.66 billion.
The volume of trade in over the counter foreign currency options (which are not traded on the stock exchange) totaled about $5.7 billion in April, compared with $10.2 billion in March. The average daily trading volume in those options in April
was $337 million, a decline of 34 percent from March.
The trading volume of swap transactions was about $65.4 billion in April, compared with $59.6 billion in March. Average
daily turnover increased about 30 percent to about $3.8 billion.
Nonresidents' share of total trade (spot and forward transactions, options and swaps) increased in April to 46.5 percent, compared with 42 percent in March and 44 percent in February. The increase was primarily in nonresidents' share of swap transactions, with an increase in April of 62 percent in the average daily turnover by nonresidents in such transactions.
 





 
Forex transactions with domestic banks, by instruments and derivatives ($ million)
    Conversions (1) Swapsa (2) Optionsb (3) Total volume of trade (1)+(2)+(3)
April-12 (Not final) Total 28,225 65,436 5,735 99,396
Daily average (17 days) 1,660 3,849 337 5,847
Nonresidents 9,568 33,991 2,734 46,293
of which Foreign financial institutions 8,876 33,513 2,640 45,029
Residents 18,657 31,445 3,001 53,103
of which Real sector 5,830 2,615 1,066​ 9,511
Financial sector 3,547 18,751 578 22,876
Institutions (incl. insurance companies) 2,317 2,886 1 5,204
Individuals and provident funds 510 314 284 1,108
The Bank of Israel 0     0
Otherc 2,594 8 34 2,636
Domestic banksd 3,859 6,871 1,038 11,768
           
March - 12 Total 34,826 59,570 10,257 104,653
Daily average (20-days) 1,741 2,979 513 5,233
Nonresidents 13,633 24,634 5,638 43,905
of which Foreign financial institutions 12,970 24,415 5,608 42,993
Residents 21,193 34,936 4,619 60,748
of which Real sector 5,901 1,887 1,233 9,021
Financial sector 4,569 21,372 1,067 27,008
Institutions (incl. insurance companies) 1,887 2,893 0 4,780
Individuals and provident funds 497 429 207 1,133
The Bank of Israel 0     0
Otherc 3,041 1 40 3,082
Domestic banksd 5,298 8,354 2,072 15,724
 
  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