Graphs & Data
1. The Exchange Rate
Strengthening of the shekel against the dollar and the euro, against the background of a mixed trend of the dollar worldwide.
In February, the shekel strengthened by about 1 percent against the dollar, and by about 1.3 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 strengthened by about 1.2 percent in February.
Worldwide, the dollar traded mixed in February. The dollar strengthened by 0.2 percent against the euro and by 3.6 percent against the British pound; in contrast, the dollar weakened by 6.6 percent against the Japanese yen and by 1.6 percent against the Swiss franc.
2. Exchange Rate Volatility
An increase in actual volatility of the exchange rate, in contrast 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, increased by about 2.6 percentage points in February, to 7.1 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 0.2 percentage points, to 8.6 percent at the end of February.
In parallel, the implied volatility in foreign exchange options in emerging markets increased, to an average of about 11.7 percent in February, and the implied volatility in foreign exchange options in advanced economies increased, to an average of about 11.4 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 February was about $160 billion, compared with about $142 billion in January. Average daily trading volume increased by about 7 percent, to about $7.6 billion.
The volume of trade in spot and forward transactions (conversions) was about $37 billion in February. Average daily trading volume in those transactions declined in February by about 13 percent compared with January.
The volume of trade in over the counter foreign currency options (which are not traded on the stock exchange) totaled about $7 billion in February. The average daily trading volume in those options was about $330 million in February, a decline of about 15 percent compared with January.
The trading volume of swap transactions was about $114 billion in February, compared with $94 billion in January. Average daily trading volume increased by about 15 percent from the previous month, to around $5.4 billion.
Nonresidents’ share of total trade (spot and forward transactions, options and swaps) declined by about 0.8 percentage points, to about 31.3 percent at the end of February.
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