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1. The Exchange Rate
The shekel strengthened against the dollar, as the dollar weakened against global currencies
The shekel appreciated by about 2.9 percent against the dollar during September, and weakened by about 0.5 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 about 1 percent.
In September, the dollar traded weaker against most currencies in the world, weakening by 3.4 percent against the euro, by 2.7 percent against the British pound, and by 1 percent against the Japanese yen.
2. Exchange Rate Volatility
Actual volatility of the exchange rate increased, while implied volatility decreased
The standard deviation of changes in the shekel-dollar exchange rate, which represents its actual volatility, increased in September to 7.9 percent, compared with 7.1 percent in August.
The average level of the implied volatility in over the counter shekel-dollar options––an indication of expected exchange rate volatility––decreased in September to about 9 percent, compared with about 9.4 percent in August.
For comparison, the implied volatility of foreign exchange options in emerging markets in September was 10.6 percent on average, compared with 11.1 percent in August, and that in advanced economies was 8.2 percent, down from 8.7 percent in August.
3. The Volume of Trade in the Foreign Currency Market
There was a decline in average daily trading volume, as well as in nonresidents' share of trading volume
The total volume of trade in foreign currency in September was about $76 billion, compared with $111 billion in August. Average daily trading volume decreased by about 2 percent in September, and reached about $4.7 billion.
The volume of trade in spot and forward transactions (conversions) was about $28 billion in September, compared with $39 billion in August. The average daily trading volume in those transactions increased by about 2 percent in September compared with August, to $1.8 billion.
The volume of trade in over the counter foreign currency options (which are not traded on the stock exchange) totaled about $6 billion in September, compared with $12 billion in August. The average daily trading volume in those options in September was $425 million, a decline of 18 percent from August.
The trading volume of swap transactions was about $41 billion in September, compared with $60 billion in August. Continuing the trend of the past few months, average daily turnover of swap transactions continued to decline, to about $2.5 billion, compared with $2.6 billion in August, $2.8 billion in July, $3.3 billion in June, $3.5 billion in May and $3.9 billion in April.
Nonresidents' share of total trade (spot and forward transactions, options and swaps) decreased in September to about 45 percent, compared with 50 percent in August and 46 percent in July.
Forex transactions with domestic banks, by instruments and sectors ($ million) | |||||
Conversions (1) |
Swapsa (2) |
Optionsb (3) |
Total volume of trade (1)+(2)+(3) | ||
September-12
(Not final) |
Total |
28,054 |
40,847 |
6,807 |
75,708 |
Daily average (16 days) |
1,753 |
2,553 |
425 |
4,732 | |
Nonresidents |
10,377 |
20,729 |
3,159 |
34,265 | |
of which Foreign financial institutions |
9,894 |
20,537 |
2,968 |
33,399 | |
Residents |
17,677 |
20,118 |
3,648 |
41,443 | |
of which Real sector |
5,792 |
2,102 |
1,697 |
9,591 | |
Financial sector |
3,634 |
9,060 |
526 |
13,220 | |
Institutions (incl. insurance companies) |
1,337 |
3,834 |
1 |
5,172 | |
Individuals and provident funds |
430 |
278 |
207 |
915 | |
The Bank of Israel |
0 |
0 | |||
Otherc |
2,652 |
79 |
190 |
2,921 | |
Domestic banksd |
3,832 |
4,765 |
1,027 |
9,624 | |
August-12 |
Total |
39,391 |
59,333 |
12,043 |
110,767 |
Daily average (23 days) |
1,713 |
2,580 |
524 |
4,816 | |
Nonresidents |
16,675 |
30,646 |
7,848 |
55,169 | |
of which Foreign financial institutions |
15,970 |
30,508 |
7,697 |
54,175 | |
Residents |
22,716 |
28,687 |
4,195 |
55,598 | |
of which Real sector |
5,682 |
1,933 |
1,270 |
8,885 | |
Financial sector |
4,782 |
15,768 |
339 |
20,889 | |
Institutions (incl. insurance companies) |
2,942 |
4,546 |
126 |
7,614 | |
Individuals and provident funds |
673 |
446 |
325 |
1,444 | |
The Bank of Israel |
0 |
0 | |||
Otherc |
3,017 |
68 |
46 |
3,131 | |
Domestic banksd |
5,620 |
5,926 |
2,089 |
13,635 | |
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 2 | |||||
e As of the September 09 press release, trading volume data is identical to the monthly data published on the website. For more information, see: http://www.bankisrael.gov.il/en/DataAndStatistics/Pages/MainPage.aspx?Level=3&Sid=31&SubjectType=2
Likewise, as of the same month, broader sectorial data on Israeli residents is presented. | |||||