The Exchange Rate : Strengthening of the shekel against the dollar against the background of the dollar’s mixed trend worldwide.
In October, the shekel strengthened by about 1.4 percent against the dollar, and by about 3.4 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 1.5 percent in October.
In October, the dollar strengthened by 2 percent against the euro and by 1.4 percent against the Swiss franc. In contrast, the dollar weakened by 1 percent against the British pound, and by 1.8 percent against the Canadian dollar.
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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 1.5 percentage points in October, to 8.2 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 11 percent at the end of October.
The implied volatility in foreign exchange options in emerging markets also declined, to an average of about 11.3 percent in October, while the implied volatility in foreign exchange options in advanced economies also decline, to an average of about 9.4 percent at the end of the month (Figure 4).
The Volume of Trade in the Foreign Currency Market: Average daily trading volume declined, in parallel with a decline in nonresidents’ relative share of total trading volume.
The total volume of trade in foreign currency in October was about $134 billion, compared with about $124 billion in September. Average daily trading volume declined by about 13 percent, to about $6.3 billion.
The volume of trade in spot and forward transactions (conversions) was about $40 billion in October. Average daily trading volume in those transactions declined in October by about 17 percent compared with September.
The volume of trade in over the counter foreign currency options (which are not traded on the stock exchange) totaled about $8.5 billion in October. The average daily trading volume in those options was about $406 million in October, a decline of about 5.3 percent compared with September.
The trading volume of swap transactions was about $85 billion in October, compared with $78 billion in September. Average daily trading volume declined by about 11 percent from the previous month, to around $4 billion.
Nonresidents’ share of total trade (spot and forward transactions, options and swaps) declined by about 2.5 percentage points, to about 31.2 percent at the end of October.