1. The Exchange Rate

Strengthening of the shekel
against the dollar, in parallel with a weakening of the dollar worldwide.

In June, the shekel strengthened by
1.8 percent against the dollar, and weakened by 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 0.9 percent in June.

Worldwide, the US dollar weakened
against most major currencies in June. The dollar weakened by 2.2 percent
against the euro, by 1.0 percent against the British pound, and by 1.8 percent
against the Swiss franc. In contrast, the dollar strengthened by 0.8 percent
against the Japanese yen.

 

2. Exchange Rate Volatility

An increase in actual volatility
of the exchange rate, with a decline in implied volatility.

The standard deviation of changes in
the shekel-dollar exchange rate, which represents its actual volatility,
increased by about 1.2 percentage points in June, to 4.4 percent at the end of
the month.

The average level of implied
volatility in over the counter shekel-dollar options declined by about 0.3
percentage points, to 6.9 percent at the end of June.

In parallel, the implied volatility in
foreign exchange options in emerging markets declined, to an average of about
8.7 percent, and the implied volatility in foreign exchange options in advanced
economies also declined, to about 7.2 percent at the end of June (Figure 4).

The implied volatility in foreign
exchange options trading is an indication of expected exchange rate
volatility.

 

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 June was about $146 billion, compared with about $139 billion
in May. Average daily trading volume declined by about 9 percent, to about $6.6
billion.

 

The trading volume in spot and
forward transactions (conversions)
was about $29 billion in June. Average
daily trading volume in those transactions declined in June by about 10 percent
compared with May.

 

The trading volume in over the
counter foreign currency options
(which are not traded on the stock
exchange) totaled about $6.3 billion in June. The average daily trading volume
in those options declined compared with May, to about $289 million.

 

The trading volume in swap
transactions
totaled about $110 billion, compared with about $105 billion
in May. Average daily trading volume in swap transactions declined by about 9
percent compared with the previous month, to around $5 billion.

 

Nonresidents’ share of total trade
(spot and forward transactions, options and swaps) increased to about 34 percent at the end of
June. The increase was a result of higher volume of activity by nonresidents in
swap and in conversion transactions.

Full press release, including graphs and data

Graphs and data​