iShares MSCI Japan Index

EWJ

53.15

+0.13

+0.3%

Stock Price
Open: 53.14
Prev. Close: 53.02
Low/Hi: 53.09 - 53.18
52-Week: 44.60 - 53.08
Volumes
Equity: 2,197,560
90-Day Avg: 6,178,118
Option: 2,711
90-Day Avg: 3,420
Volatility
Today: 3.7
20-Day: 5.8
52-Week: 11.6
30-Day IV: 10.0 -0.2
IV Rank: 0.44 (Moderate)
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

Price Performance:

Today, EWJ has moved +0.3%, while SPY has moved +0.2%.

Over the last two weeks, EWJ has moved +1.0%, and SPY has moved +0.2%.

Volume:

EWJ's stock volume today is 2,197,560, which is 0.4x relative to the 90-day average of 6,178,118

SPY's relative volume today is 0.3x, trading 24,589,492 shares against an average of 77,475,548 for the last 90 days.

Volatility:

The current 1-Day OHLC Volatility for EWJ is 3.7 for today. The 20-day average is 5.5, and the 52-week average is 10.0.

The 1-Day OHLC Volatility for SPY is 3.7, while the average over the last 20 days is 5.8, and for the last 52 weeks is 7.7.

Implied Volatility:

The current 30-Day Implied Volatility (IV30) is 10.0, and has moved -2.2% from yesterday. Its IV Ranking is 0.44, which is considered Moderate.

As a comparison, the current IV30 for SPY is 8.1, up slightly +0.2% from the previous day. SPY's IV Rank is Subdued at 0.40.

Over the last 52 weeks, the IV30 Range is 9.1 - 25.7.

Over the same span, SPY's IV30 Range is 7.2 - 20.7.

Based on the IV30, a synthetic put to protect downside risk would cost 1.1%, compared to a 52-week range of 1.0% - 2.9%.

At-the-Money Straddles:

ATM Straddle Expected Range
Expiration $ Premium % Premium Low High
26-May-17 0.42 0.8% 52.72 53.57
02-Jun-17 0.66 1.2% 52.48 53.81
09-Jun-17 0.89 1.7% 52.25 54.04
16-Jun-17 1.13 2.1% 52.02 54.27
23-Jun-17 1.37 2.6% 51.77 54.52
30-Jun-17 1.50 2.8% 51.65 54.64
21-Jul-17 1.83 3.4% 51.31 54.98
15-Sep-17 2.81 5.3% 50.34 55.95
15-Dec-17 4.08 7.7% 49.06 57.23
19-Jan-18 4.55 8.6% 48.60 57.69
18-Jan-19 8.17 15.4% 44.98 61.31

Volatility Skew:

The current downside put implied volatility is trading 9.0% 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 15.6% higher than the upside call.

Option Volume:

On the day, EWJ traded 2,711 contracts, with 95.8% being put options. This represents a relative volume of 0.8x compared to the last 90 days, when the average volume was 3,420 and 49.7% 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 0 0.0% 0 0 0.0% 0 0 0.0% 0
Put 0 0.0% 0 0 0.0% 0 0 0.0% 0 0 0.0% 0
Total 0 0

Most Active Options:

Option Symbol Volume # Trades Last Price Low Price High Price Open Interest IV % IV Change
EWJ 21Jul17 P 52 1,587 1 0.63 0.63 0.63 0 11.6 0.0%
EWJ 23Jun17 P 51 515 1 0.18 0.18 0.18 151 12.5 -1.2%
EWJ 16Jun17 P 51 317 37 0.09 0.09 0.09 2,038 13.1 -2.3%
EWJ 16Jun17 P 52 143 3 0.22 0.18 0.22 532 11.6 -0.7%
EWJ 26May17 C 51.5 20 1 1.64 1.64 1.64 25 11.0 +7.6%

Biggest Open Interest Increases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
EWJ 9Jun17 C 53.5 6,370 370 +6,000 +1621.6% 0
EWJ 23Jun17 C 53.5 290 11 +279 +2536.4% 0
EWJ 23Jun17 P 51 151 10 +141 +1410.0% 515
EWJ 2Jun17 C 53 365 315 +50 +15.9% 0
EWJ 15Sep17 C 51 2,631 2,616 +15 +0.6% 15

Biggest Open Interest Decreases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
EWJ1 19Jan18 C 13 743 755 -12 -1.6% 0
EWJ 26May17 C 51.5 25 29 -4 -13.8% 20
EWJ 26May17 C 53.5 2 4 -2 -50.0% 0
EWJ 26May17 P 51.5 2 4 -2 -50.0% 0
EWJ 26May17 P 49.5 2 4 -2 -50.0% 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 1.79%.