Graphs & Data
1. The Exchange Rate
Weakening of the shekel against the dollar against the background of the dollar’s strengthening worldwide.
In January, the shekel weakened by about 1.3 percent against the dollar, and by about 1.5 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 weakened by about 0.5 percent in January.
In January, the dollar strengthened by 3.3 percent against the British pound, by 2.5 percent against the Swiss franc and by 0.4 percent against the Japanese yen. In contrast, the dollar weakened by 0.2 percent against the euro.
2. Exchange Rate Volatility
A decrease in actual volatility of the exchange rate, in parallel with a decline in the implied volatility of the exchange rate.
The standard deviation of changes in the shekel-dollar exchange rate, which represents its actual volatility, declined by about 0.5 percentage points in January, to 4.52 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––declined by about 0.4 percentage points, to 8.8 percent at the end of January.
In contrast, the implied volatility in foreign exchange options in emerging markets increased, to an average of about 11.2 percent in January, while the implied volatility in foreign exchange options in advanced economies increased, to an average of about 10.6 percent at the end of the month (Figure 4).
3. The Volume of Trade in the Foreign Currency Market
Average daily trading volume increased, while nonresidents’ relative share of total trading volume declined.
The total volume of trade in foreign currency in January was about $142 billion, compared with about $131 billion in December. Average daily trading volume increased by about 20 percent, to about $7.1 billion.
The volume of trade in spot and forward transactions (conversions) was about $40 billion in January. Average daily trading volume in those transactions increased in January by about 13 percent compared with December.
The volume of trade in over the counter foreign currency options (which are not traded on the stock exchange) totaled about $7.8 billion in January. The average daily trading volume in those options was about $390 million in January, an increase of about 44 percent compared with December.
The trading volume of swap transactions was about $94 billion in January, compared with $85 billion in December. Average daily trading volume increased by about 21 percent from the previous month, to around $4.7 billion.
Nonresidents’ share of total trade (spot and forward transactions, options and swaps) declined by about 1 percentage point, to about 32.1 percent at the end of January.
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