Developments in the exchange rate––the shekel depreciated against the dollar as the dollar strengthened around the world
The shekel depreciated by about 1.3 percent against the dollar during November, and appreciated by 4.7 percent against the euro. Against the currencies of Israel's main trading partners, the nominal effective exchange rate of the shekel i.e, the trade-weighted average shekel exchange rate against those currencies, strengthened by about 1.5 percent.
In November the dollar strengthened against most major currencies––by 6.2 percent against the euro, by 2.4 percent against the pound sterling, and by 3.8 percent against the yen.
Since the beginning of 2010 the shekel has appreciated by 2.4 percent against the dollar, and by 12 percent against the euro. In terms of the nominal effective exchange rate the shekel appreciated by 5.1 percent.
The volatility of the exchange rate––the actual volatility of the exchange rate declined in November, and the implied volatility increased
The standard deviation of changes in the exchange rate, which represents its actual volatility, was 7.7 percent in November, compared with 8.5 percent in October.
The average level of the implied volatility in OTC (over the counter) forex options––an indication of expected exchange rate volatility––was about 9.6 percent in November, compared with an average of 8.1 percent in October. For comparison, the implied volatility of the foreign exchange options of emerging markets averaged 12.8 percent in November, and of advanced economies, 12.5 percent.
There was a high volume of trade in Israel’s forex market in November, in all instruments, similar to the levels in October
The total volume of trade in foreign currency in November was about $131 billion, compared with about $136 billion in October and an average monthly level of $100 billion in January–September 2010. The volume of trade in spots and forward transactions totaled about $37.5 billion, a daily average of about $1.7 billion, compared with a daily average of $2 billion in October. Nonresidents' transactions in spots and forwards totaled some $14 billion in November, accounting for 38 percent of the trade in these instruments. The Bank of Israel did not purchase foreign currency in November.
The volume of trade in OTC foreign currency options (which are not traded on the stock exchange) totaled about $16 billion in November, and the volume of swap transactions was about $78 billion.
Nonresidents' accounted for about 63 percent of the total volume of trade (spots and forward transactions, options and swaps) in November, compared with 65 percent in October and 63 percent in September.
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