iShares MSCI Japan Index

EWJ

51.87

+0.32

+0.6%

After Hours:

51.87

0.00

0.0%

Stock Price
Open: 51.86
Prev. Close: 51.55
Low/Hi: 51.86 - 52.04
52-Week: 43.40 - 52.09
Volumes
Equity: 6,050,438
90-Day Avg: 7,102,078
Option: 5,360
90-Day Avg: 4,188
Volatility
Today: 10.0
20-Day: 8.8
52-Week: 13.9
30-Day IV: 10.8 +0.1
IV Rank: 0.29 (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-Mar-2017

Price Performance:

On the day, EWJ has moved +0.6%, while SPY has moved -0.1%.

Over the last two weeks, EWJ has moved +1.0%, and SPY has moved -1.6%.

Volume:

EWJ's stock volume on the day is 6,050,438, which is 0.9x relative to the 90-day average of 7,102,078

SPY's relative volume on the day is 1.4x, trading 107,532,274 shares against an average of 78,973,395 for the last 90 days.

Volatility:

The current 1-Day OHLC Volatility for EWJ is 10.0 for the day. The 20-day average is 7.9, and the 52-week average is 11.8.

The 1-Day OHLC Volatility for SPY is 9.3, while the average over the last 20 days is 6.8, and for the last 52 weeks is 8.3.

Implied Volatility:

The current 30-Day Implied Volatility (IV30) is 10.8, and has moved +0.9% from the previous day. Its IV Ranking is 0.29, which is considered Subdued.

As a comparison, the current IV30 for SPY is 10.8, down slightly -0.4% from the previous day. SPY's IV Rank is Moderate at 0.74.

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 1.2%, compared to a 52-week range of 1.1% - 2.9%.

At-the-Money Straddles:

ATM Straddle Expected Range
Expiration $ Premium % Premium Low High
24-Mar-17 0.05 0.1% 51.85 51.94
31-Mar-17 0.61 1.2% 51.28 52.51
07-Apr-17 0.85 1.6% 51.05 52.74
13-Apr-17 1.01 2.0% 50.88 52.91
21-Apr-17 1.22 2.4% 50.67 53.12
28-Apr-17 1.50 2.9% 50.39 53.40
05-May-17 1.60 3.1% 50.30 53.49
19-May-17 2.01 3.9% 49.88 53.91
16-Jun-17 2.47 4.8% 49.42 54.37
15-Sep-17 3.90 7.5% 47.99 55.80
19-Jan-18 5.54 10.7% 46.35 57.44
18-Jan-19 8.84 17.0% 43.05 60.74

Volatility Skew:

The current downside put implied volatility is trading 1.9% 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 18.1% higher than the upside call.

Option Volume:

On the day, EWJ traded 5,360 contracts, with 80.6% being put options. This represents a relative volume of 1.3x compared to the last 90 days, when the average volume was 4,188 and 64.0% 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 11 73.3% 1,285 2 13.3% 80 13 86.7% 1,365
Put 0 0.0% 0 0 0.0% 0 2 13.3% 29 2 13.3% 29
Total 15 1,394

Most Active Options:

Option Symbol Volume # Trades Last Price Low Price High Price Open Interest IV % IV Change
EWJ 16Jun17 C 53 5 1 0.80 0.80 0.80 178 11.9 +0.5%
EWJ 16Jun17 C 54 3 1 0.45 0.45 0.45 46 11.4 0.0%
EWJ 16Jun17 C 50 3 1 2.50 2.50 2.50 166 14.0 +0.9%
EWJ 19Jan18 C 58 1 1 0.58 0.58 0.58 382 12.8 -2.5%
EWJ 16Jun17 C 55 1 1 0.22 0.22 0.22 83 11.2 -2.1%

Biggest Open Interest Increases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
EWJ 21Apr17 P 51 2,208 2,063 +145 +7.0% 0
EWJ 21Apr17 C 52 4,117 3,972 +145 +3.7% 0
EWJ 31Mar17 P 50.5 65 35 +30 +85.7% 0
EWJ 15Sep17 P 54 10 0 +10 0
EWJ 19Jan18 C 58 382 374 +8 +2.1% 1

Biggest Open Interest Decreases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
EWJ 24Mar17 C 50.5 70 140 -70 -50.0% 0
EWJ 24Mar17 C 50 49 50 -1 -2.0% 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 1.84%.