Israel's foreign currency market in April 2015
The shekel strengthened against the dollar in parallel with the weakening of the dollar worldwide.
Graphs & Data
1. The Exchange Rate
In April, the shekel strengthened by about 3 percent against the dollar. The shekel weakened by about 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 weakened by 0.6 percent in April.
In April, the dollar weakened notably against most major currencies—by about 4 percent against the euro, by about 3.8 percent against the Swiss franc, by about 4.1 percent against the British pound and by about 0.8 percent against the Japanese yen.
2. Exchange Rate Volatility
A decrease in actual volatility of the exchange rate, in parallel with stability in the implied volatility of the exchange rate.
The standard deviation of changes in the shekel-dollar exchange rate, which represents its actual volatility, decreased in April by about 2 percentage points, to 10 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––remained stable at around 11.1 percent at the end of April.
The implied volatility in foreign exchange options in emerging markets increased slightly to an average of 10.6 percent in April, and the implied volatility in foreign exchange options in advanced economies increased slightly as well, to about 10.5 percent at the end of the month (Figure 4).
3. The Volume of Trade in the Foreign Currency Market
Average daily trading volume decreased, in parallel with a decrease in nonresidents' relative share of total trading.
The total volume of trade in foreign currency in April was about $108 billion, compared with about $141 billion in March. Average daily trading volume declined by about 19 percent, to about $6 billion.
The volume of trade in spot and forward transactions (conversions) was about $40 billion in April. Average daily trading volume in those transactions declined in April by about 15 percent compared with March. During April, the Bank of Israel purchased $615 million in spot and forward transactions[1], of which $50 million was as part of the purchase program intended to offset the effects of natural gas production on the exchange rate.
The volume of trade in over the counter foreign currency options (which are not traded on the stock exchange) totaled about $7 billion in April. The average daily trading volume in those options was about $410 million in April, a decline of about 25 percent from March.
The trading volume of swap transactions was about $60 billion in April, compared with about $79 billion in March. Average daily turnover declined by about 19 percent from the previous month, to around $3.3 billion.
Nonresidents' share of total trade (spot and forward transactions, options and swaps) declined markedly in April, to about 38 percent, compared with 44 percent in March. The decline derived from a decrease in the volume of nonresidents' activity in conversion, swap, and options transactions.
Forex transactions with domestic banks, by instruments and sectors
($Million)
Swaps[1] (2)
Cross Currency swap[2] (3)
Options[3] (4)
Total volume of trade (1)+(2)+(3)+(4)
(Not final)
Daily average (18 days)
Nonresidents
of which Foreign financial institutions
of which Real sector
Institutions (incl. insurance companies)
Individuals and provident funds
The Bank of Israel
of which within the program to offset the gas effect
Other[4]
Domestic banks[5]
Domestic banks5
[1] Only one leg of the swap, i.e., the nominal value of the transaction (in accordance with the BIS definition)
[2] The exchanged founds through Cross Currency Swap transactions considered for the volume, as one leg only in cases where the two legs offset each other.
[3] The national value, that includes purchases and sales of put and call options.
[4] Including other entities such as portfolio managers, nonprofit organizations, national institutions, and those not include elsewhere.
[5] Total interbank trade, divided in two.
[1] This figure reflects transactions by trade date, not settlement date. Therefore, it is not necessarily identical to the data published in the foreign exchange reserves notice, which reflects transactions by settlement date.