| 1. The Exchange Rate |
| The shekel appreciated against the dollar in line with the weakening of the dollar around the world |
| The shekel appreciated by about 2.3 percent against the dollar during January, and weakened by about 0.3 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 appreciated by about 0.3 percent. |
| In January, the dollar weakened against most major currencies in the world, weakening by 2 percent against the euro, by 2.3 percent against the pound sterling, and by about 1.5 percent against the Japanese yen. |
| 2. Exchange Rate Volatility |
| Actual volatility of the exchange rate declined in January, as did implied volatility |
| The standard deviation of changes in the shekel-dollar exchange rate, which represents its actual volatility, declined in January to 6.9 percent, compared with 7.5 percent in December. |
| The average level of the implied volatility in over the counter shekel-dollar options––an indication of expected exchange rate volatility––also declined in January, to 11.3 percent, compared with 12 percent in December. |
| For comparison, the implied volatility of foreign exchange options in emerging markets in January was 14 percent, down from 16 percent in December, and that in advanced economies was 11.3 percent, down from 13.1 percent in December. |
| 3. The Volume of Trade in the Foreign Currency Market |
| There was a continued decline in the volume of swap transactions as well as in nonresidents’ share of those transactions, while there was an increase in January of nonresidents’ share of spot and forward transactions |
| The total volume of trade in foreign currency in January was about $128.8 billion, compared with $137 billion in December and $129 billion in November. Average daily turnover declined in January, and reached about $6.1 billion, compared with $6.5 billion in December and about $5.8 billion in November. |
| The volume of trade in spot and forward transactions (conversions) was about $40.5 billion in January, compared with $39.3 billion in December. The average daily trading volume in those transactions increased in January by about 3 percent, to $1.9 billion. |
| The volume of trade in over the counter foreign currency options (which are not traded on the stock exchange) totaled about $12.2 billion in January, compared with $9.9 billion in December. The average daily trading volume in those options increased by 22 percent compared with December, to $580 million. |
| The trading volume of swap transactions was about $76 billion in January, compared with $88 billion in December. Average daily turnover declined about 13 percent to about $3.6 billion. |
| Nonresidents’ share of total trade (spot and forward transactions, options and swaps) declined in January, continuing the trend of the recent quarter, and reached 37.6 percent, compared with 39 percent in December, 40.3 percent in November, and 43.4 percent in October. |
|
| |
|
Conversions (1) |
Swapsa (2) |
Optionsb (3) |
Total volume of trade (1)+(2)+(3) |
| April-11 (Not final) |
Total |
40,576 |
76,069 |
12,177 |
128,822 |
| Daily average (21 days) |
1,932 |
3,622 |
580 |
6,134 |
| Nonresidents |
14,433 |
27,706 |
6,258 |
48,397 |
| of which Foreign financial institutions |
13,613 |
26,420 |
5,708 |
45,741 |
| Residents |
26,143 |
48,363 |
5,919 |
80,425 |
| of which Real sector |
6,400 |
2,700 |
2,959 |
12,059 |
| Financial sector |
5,198 |
26,703 |
949 |
32,850 |
| Institutions (incl. insurance companies) |
4,326 |
4,350 |
10 |
8,686 |
| Individuals and provident funds |
893 |
398 |
296 |
1,587 |
| The Bank of Israel |
0 |
|
|
0 |
| Otherc |
2,845 |
6 |
61 |
2,912 |
| Domestic banksd |
6,481 |
14,206 |
1,644 |
22,331 |
| |
|
|
|
|
|
| (March 2011 |
Total |
39,355 |
87,994 |
9,920 |
137,269 |
| Daily average (21-days) |
1,874 |
4,190 |
472 |
6,537 |
| Nonresidents |
10,267 |
39,259 |
4,262 |
53,788 |
| of which Foreign financial institutions |
9,381 |
37,555 |
4,158 |
51,094 |
| Residents |
29,088 |
48,735 |
5,658 |
83,481 |
| of which Real sector |
7,199 |
2,116 |
1,500 |
10,815 |
| Financial sector |
6,366 |
30,895 |
1,035 |
38,296 |
| Institutions (incl. insurance companies) |
4,017 |
4,089 |
495 |
8,601 |
| Individuals and provident funds |
940 |
419 |
184 |
1,543 |
| The Bank of Israel |
0 |
|
|
0 |
| Otherc |
3,407 |
89 |
216 |
3,712 |
| Domestic banksd |
7,159 |
11,127 |
2,228 |
20,514 |
|
