iShares MSCI Japan Index

EWJ

61.60

+0.93

+1.5%

After Hours:

61.53

-0.07

-0.1%

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Stock Price
Open: 61.28
Prev. Close: 60.67
Low/Hi: 61.26 - 61.67
52-Week: 50.58 - 64.71
Volumes
Equity: 11,805,020
90-Day Avg: 9,945,042
Option: 16,989
90-Day Avg: 27,344
Volatility
Todays Stock Vol: 17.8
20-Day (HV): 15.2
52-Week (HV): 8.9
30-Day IV: 15.7 -0.5
IV Pct Rank: 96% Elevated
Fundamental
Dividend: 19-Jun $0.358 (Est.)
Div. Yield: 1.2%
Net Expense Ratio: 0.49%
Stock Info
Type: ETF
Family: iShares
Category: Japan Stock

EWJ Symbol Review Report

Report Date: 16-Feb-2018

Price Performance:

On the day, EWJ has moved +1.5%, while SPY has moved 0.0%.

Over the last two weeks, EWJ has moved -1.2%, and SPY has moved -0.9%.

Volume:

EWJ's stock volume on the day is 11,805,020, which is 1.2x relative to the 90-day average of 9,945,042

SPY's relative volume on the day is 1.7x, trading 152,272,279 shares against an average of 90,431,949 for the last 90 days.

Volatility:

The current 1-Day OHLC Volatility for EWJ is 17.8 for the day. The 20-day average is 14.0, and the 52-week average is 7.6.

The 1-Day OHLC Volatility for SPY is 15.3, while the average over the last 20 days is 13.8, and for the last 52 weeks is 6.9.

Implied Volatility:

The current 30-Day Implied Volatility (IV30) is 15.7, and has moved -3.3% from the previous day. Its IV % Rank is 0.96, which is considered Elevated.

As a comparison, the current IV30 for SPY is 14.3, down slightly -1.2% from the previous day. SPY's IV % Rank is Elevated at 0.96.

Over the last 52 weeks, the IV30 Range is 7.4 - 24.1.

Over the same span, SPY's IV30 Range is 6.4 - 27.6.

Based on the IV30, a synthetic put to protect downside risk would cost 1.7%, compared to a 52-week range of 0.8% - 2.7%.

At-the-Money Straddles:

ATM Straddle Expected Range
Expiration $ Premium % Premium Low High
16-Feb-18 0.06 0.1% 61.55 61.68
23-Feb-18 0.99 1.6% 60.63 62.60
02-Mar-18 1.46 2.4% 60.16 63.07
09-Mar-18 1.81 2.9% 59.80 63.43
16-Mar-18 2.11 3.4% 59.50 63.73
23-Mar-18 2.36 3.8% 59.25 63.98
29-Mar-18 2.62 4.2% 59.00 64.23
15-Jun-18 4.62 7.5% 57.00 66.23
21-Sep-18 6.40 10.4% 55.22 68.01
18-Jan-19 8.03 13.0% 53.58 69.65
17-Jan-20 11.57 18.8% 50.04 73.19

Volatility Skew:

The current downside put implied volatility is trading 23.1% 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 11.0% higher than the upside call.

Option Volume:

On the day, EWJ traded 16,989 contracts, with 67.2% being put options. This represents a relative volume of 0.6x compared to the last 90 days, when the average volume was 27,344 and 32.9% 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 686 4.0% 389,150 3,805 22.4% 413,598 1,087 6.4% 37,566 5,578 32.8% 840,314
Put 102 0.6% 32,251 3,449 20.3% 469,531 7,860 46.3% 162,427 11,411 67.2% 664,209
Total 16,989 1,504,523

Most Active Options:

Option Symbol Volume # Trades Last Price Low Price High Price Open Interest IV % IV Change
EWJ 16Mar18 P 58 6,017 7 0.25 0.22 0.26 14,032 20.9 +6.6%
EWJ 16Mar18 P 62 3,026 8 1.20 1.20 1.38 680 15.1 +0.1%
EWJ 16Mar18 C 62 2,153 34 0.86 0.76 0.89 9,390 15.4 0.0%
EWJ 16Mar18 P 54 1,414 16 0.09 0.08 0.09 1,768 28.8 +7.7%
EWJ 15Jun18 C 64 513 28 1.37 1.30 1.38 605 15.8 +3.1%

Biggest Open Interest Increases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
EWJ 16Mar18 C 62 9,390 8,780 +610 +7.0% 2,153
EWJ 16Mar18 C 63 4,677 4,164 +513 +12.3% 270
EWJ 16Mar18 P 58 14,032 13,803 +229 +1.7% 6,017
EWJ 16Mar18 P 59 644 598 +46 +7.7% 39
EWJ 9Mar18 C 59.5 22 0 +22 0

Biggest Open Interest Decreases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
EWJ 16Mar18 C 58 733 996 -263 -26.4% 0
EWJ 16Mar18 C 59 2,938 3,159 -221 -7.0% 4
EWJ 16Mar18 C 60 6,112 6,283 -171 -2.7% 23
EWJ 16Feb18 C 63 23,441 23,544 -103 -0.4% 255
EWJ 2Mar18 P 59.5 176 239 -63 -26.4% 0

Upcoming Dividend:

The next dividend for EWJ is on 19-Jun-2018. The amount has not yet been determined, but the indicative dividend yield is 1.21%.

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