iShares MSCI Japan Index

EWJ

54.45

+0.24

+0.4%

After Hours:

54.43

-0.02

0.0%

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Stock Price
Open: 54.38
Prev. Close: 54.21
Low/Hi: 54.38 - 54.58
52-Week: 48.24 - 55.28
Volumes
Equity: 6,360,980
90-Day Avg: 5,630,528
Option: 1,700
90-Day Avg: 5,535
Volatility
Todays Stock Vol: 5.9
20-Day (HV): 6.6
52-Week (HV): 9.5
30-Day IV: 10.6 -0.1
IV Pct Rank: 37% Subdued
Fundamental
Dividend: 19-Dec $0.467 (Est.)
Div. Yield: 1.7%
Net Expense Ratio: 0.48%
Stock Type: ETF
Family: iShares
Category: Japan Stock
Stock Type: ETF | Family: iShares | Category: Japan Stock

EWJ Symbol Review Report

Report Date: 18-Aug-2017

Price Performance:

On the day, EWJ has moved +0.4%, while SPY has moved -0.2%.

Over the last two weeks, EWJ has moved -1.3%, and SPY has moved -1.9%.

Volume:

EWJ's stock volume on the day is 6,360,980, which is 1.1x relative to the 90-day average of 5,630,528

SPY's relative volume on the day is 2.0x, trading 132,649,098 shares against an average of 67,632,557 for the last 90 days.

Volatility:

The current 1-Day OHLC Volatility for EWJ is 5.9 for the day. The 20-day average is 5.6, and the 52-week average is 8.2.

The 1-Day OHLC Volatility for SPY is 8.1, while the average over the last 20 days is 6.4, and for the last 52 weeks is 7.2.

Implied Volatility:

The current 30-Day Implied Volatility (IV30) is 10.6, and has moved -1.2% from the previous day. Its IV Ranking is 0.37, which is considered Subdued.

As a comparison, the current IV30 for SPY is 11.8, down -2.9% from the previous day. SPY's IV Rank is Elevated at 0.83.

Over the last 52 weeks, the IV30 Range is 7.5 - 18.6.

Over the same span, SPY's IV30 Range is 6.8 - 19.6.

Based on the IV30, a synthetic put to protect downside risk would cost 1.2%, compared to a 52-week range of 0.8% - 2.1%.

At-the-Money Straddles:

ATM Straddle Expected Range
Expiration $ Premium % Premium Low High
18-Aug-17 0.05 0.1% 54.39 54.49
25-Aug-17 0.62 1.1% 53.82 55.07
01-Sep-17 0.86 1.6% 53.59 55.30
08-Sep-17 1.07 2.0% 53.37 55.52
15-Sep-17 1.25 2.3% 53.19 55.70
22-Sep-17 1.47 2.7% 52.97 55.92
29-Sep-17 1.65 3.0% 52.80 56.09
20-Oct-17 2.01 3.7% 52.43 56.46
15-Dec-17 2.90 5.3% 51.54 57.35
19-Jan-18 3.47 6.4% 50.97 57.92
16-Mar-18 4.21 7.7% 50.24 58.65
18-Jan-19 7.30 13.4% 47.14 61.75

Volatility Skew:

The current downside put implied volatility is trading 35.2% higher than the upside call volatility, which represents a bearish tone when compared to the past year. Over the last year, the downside put has traded on average 13.2% higher than the upside call.

Option Volume:

On the day, EWJ traded 1,700 contracts, with 24.6% being put options. This represents a relative volume of 0.3x compared to the last 90 days, when the average volume was 5,535 and 66.4% puts.

Order Flow:

In the Money At the Money Out of the Money Total
Option Type Volume % Volume Total
Notional
Volume % Volume Total
Notional
Volume % Volume Total
Notional
Volume % Volume Total
Notional $
Call 511 30.1% 25,722 594 34.9% 24,618 177 10.4% 1,357 1,282 75.4% 51,697
Put 27 1.6% 467 127 7.5% 4,812 264 15.5% 2,951 418 24.6% 8,230
Total 1,700 59,927

Most Active Options:

Option Symbol Volume # Trades Last Price Low Price High Price Open Interest IV % IV Change
EWJ 18Aug17 C 54 500 1 0.48 0.48 0.48 599 31.0 +134.6%
EWJ 15Sep17 C 55 401 2 0.37 0.37 0.35 1,893 9.7 -0.1%
EWJ 1Sep17 C 54.5 140 4 0.43 0.44 0.41 131 9.8 -0.5%
EWJ 20Oct17 P 40 135 2 0.05 0.05 0.05 1 34.2 +2.4%
EWJ 15Dec17 C 59 100 1 0.10 0.10 0.10 20 9.6 0.0%

Biggest Open Interest Increases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
EWJ 15Sep17 C 56 4,057 2,805 +1,252 +44.6% 0
EWJ 20Oct17 P 51 461 36 +425 +1180.6% 1
EWJ 29Sep17 P 51.5 336 0 +336 0
EWJ 29Sep17 P 53 115 1 +114 +11400.0% 0
EWJ 1Sep17 C 54.5 131 82 +49 +59.8% 140

Biggest Open Interest Decreases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
EWJ 18Aug17 P 55 172 191 -19 -10.0% 0
EWJ 15Sep17 C 57 75 85 -10 -11.8% 0
EWJ 15Sep17 C 51 104 114 -10 -8.8% 0
EWJ 25Aug17 C 55 127 136 -9 -6.6% 0
EWJ 18Aug17 C 53 315 323 -8 -2.5% 0

Upcoming Dividend:

The next dividend for EWJ is on 19-Dec-2017. The amount has not yet been determined, but the indicative dividend yield is 1.71%.