iShares MSCI Japan Index

EWJ

51.82

+0.36

+0.7%

Stock Price
Open: 51.82
Prev. Close: 51.46
Low/Hi: 51.72 - 51.85
52-Week: 44.60 - 52.38
Volumes
Equity: 4,230,223
90-Day Avg: 6,355,285
Option: 983
90-Day Avg: 3,786
Volatility
Today: 11.1
20-Day: 9.6
52-Week: 12.5
30-Day IV: 10.3 -1.9
IV Rank: 0.33 (Subdued)
Fundamental
Dividend: 20-Jun $0.315 (Est.)
Div. Yield: 1.8%
Net Expense Ratio: 0.48%
Stock Type: ETF | Family: iShares | Category: Japan Stock

EWJ Symbol Review Report

Report Date: 24-Apr-2017

Price Performance:

On the day, EWJ has moved +0.7%, while SPY has moved +1.1%.

Over the last two weeks, EWJ has moved +1.7%, and SPY has moved +0.8%.

Volume:

EWJ's stock volume on the day is 4,230,223, which is 0.7x relative to the 90-day average of 6,355,285

SPY's relative volume on the day is 1.5x, trading 116,570,150 shares against an average of 79,543,719 for the last 90 days.

Volatility:

The current 1-Day OHLC Volatility for EWJ is 11.1 for the day. The 20-day average is 8.8, and the 52-week average is 10.9.

The 1-Day OHLC Volatility for SPY is 18.2, while the average over the last 20 days is 7.8, and for the last 52 weeks is 8.0.

Implied Volatility:

The current 30-Day Implied Volatility (IV30) is 10.3, and has moved -15.7% from the previous day. Its IV Ranking is 0.33, which is considered Subdued.

As a comparison, the current IV30 for SPY is 8.1, down -29.4% from the previous day. SPY's IV Rank is Subdued at 0.35.

Over the last 52 weeks, the IV30 Range is 9.7 - 25.7.

Over the same span, SPY's IV30 Range is 8.1 - 20.7.

Based on the IV30, a synthetic put to protect downside risk would cost 1.1%, compared to a 52-week range of 1.1% - 2.9%.

At-the-Money Straddles:

ATM Straddle Expected Range
Expiration $ Premium % Premium Low High
28-Apr-17 0.45 0.9% 51.36 52.27
05-May-17 0.77 1.5% 51.05 52.58
12-May-17 0.98 1.9% 50.83 52.80
19-May-17 1.14 2.2% 50.68 52.95
26-May-17 1.41 2.7% 50.41 53.22
02-Jun-17 1.52 2.9% 50.29 53.34
16-Jun-17 1.74 3.3% 50.08 53.55
15-Sep-17 3.24 6.3% 48.57 55.06
15-Dec-17 4.49 8.7% 47.33 56.30
19-Jan-18 4.93 9.5% 46.88 56.74
18-Jan-19 8.30 16.0% 43.51 60.12

Volatility Skew:

The current downside put implied volatility is trading 8.8% higher than the upside call volatility, which represents a bullish tone when compared to the past year. Over the last year, the downside put has traded on average 16.9% higher than the upside call.

Option Volume:

On the day, EWJ traded 983 contracts, with 40.6% being put options. This represents a relative volume of 0.3x compared to the last 90 days, when the average volume was 3,786 and 56.3% 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 0 0.0% 0 112 55.7% 8,424 13 6.5% 749 125 62.2% 9,173
Put 0 0.0% 0 73 36.3% 4,951 3 1.5% 86 76 37.8% 5,037
Total 201 14,210

Most Active Options:

Option Symbol Volume # Trades Last Price Low Price High Price Open Interest IV % IV Change
EWJ 19May17 C 52 363 8 0.48 0.44 0.53 2,265 9.6 -18.5%
EWJ 19May17 P 52 145 1 0.68 0.68 0.68 34 10.3 -13.9%
EWJ 16Jun17 P 52 100 16 0.95 0.89 0.97 246 10.7 -7.4%
EWJ 16Jun17 C 51 65 13 1.41 1.39 1.44 4,082 11.2 -8.6%
EWJ 16Jun17 P 51 58 6 0.57 0.57 0.69 1,386 11.5 -6.7%

Biggest Open Interest Increases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
EWJ 19May17 C 52 2,265 1,993 +272 +13.7% 363
EWJ 19May17 P 50 920 757 +163 +21.5% 1
EWJ 19May17 P 51 605 460 +145 +31.5% 0
EWJ 5May17 P 51 133 1 +132 +13200.0% 54
EWJ 5May17 C 51.5 124 44 +80 +181.8% 0

Biggest Open Interest Decreases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
EWJ 21Apr17 C 52 0 4,998 -4,998 -100.0% 0
EWJ 21Apr17 P 51 0 3,364 -3,364 -100.0% 0
EWJ 21Apr17 C 53 0 2,574 -2,574 -100.0% 0
EWJ 15Sep17 P 46 1,752 3,502 -1,750 -50.0% 0
EWJ 21Apr17 P 50 0 1,425 -1,425 -100.0% 0

Upcoming Dividend:

The next dividend for EWJ is on 20-Jun-2017. The amount has not yet been determined, but the indicative dividend yield is 1.85%.