Graphs & Data​

1. The Exchange Rate

Strengthening of the shekel
against the euro and dollar, in contrast with a strengthening of the dollar
worldwide.

In November, the shekel strengthened
by about 0.3 percent against the dollar and by about 3.1 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 strengthened by about 2.3 percent in November.

Worldwide, the US dollar strengthened
considerably against most major currencies in November.  The dollar strengthened by 2.9 percent
against the euro, by 8 percent against the Japanese yen, and by 2.7 percent
against the Swiss franc.  In contrast,
the dollar weakened by 2.3 percent against the British pound.

 

 2. Exchange Rate Volatility

An increase in actual volatility
of the exchange rate in parallel with an increase in implied volatility.

The standard deviation of changes in
the shekel-dollar exchange rate, which represents its actual volatility,
decreased by about 1.6 percentage points in November, to 5.8 percent at the end
of the month.

The average level of implied
volatility in over the counter shekel-dollar options––an indication of expected
exchange rate volatility––increased by about 0.2 percentage points, to 7.3
percent at the end of November.

In parallel, the implied volatility in
foreign exchange options in emerging markets also increased, to an average of
about 11.6 percent, and the implied volatility in foreign exchange options in
advanced economies also increased, to about 10.1 percent at the end of November
(Figure 4).

 

3. The Volume of Trade in the Foreign
Currency Market

Total trading volume increased, in
parallel with an increase in nonresidents’ relative share of total trading
volume.

 

Total trading volume in foreign
currency
in November was about $160 billion, compared with about $107
billion in October. Average daily trading volume increased by about 2 percent,
to about $7.3 billion.

 

The trading volume in spot and
forward transactions (conversions)
was about $36 billion in November.
Average daily trading volume in those transactions increased in November by about
2 percent compared with October.

 

The trading volume in over the
counter foreign currency options
(which are not traded on the stock
exchange) totaled about $4.9 billion in November. The average daily trading
volume in those options increased compared with October, to about $224 million.

 

The trading volume of swap
transactions
was about $119 billion in November, compared with about $80
billion in October. Average daily trading volume increased by about 2 percent
from the previous month, to around $5.4 billion.

 

Nonresidents’ share of total trade
(spot and forward transactions, options and swaps) increased to about 32.2 percent
at the end of November.  The increase
derived from an increase in the volume of activity by nonresidents in
conversion (spot and forward), swap and options transactions.

To full press release, including graphs & data