iShares MSCI Japan Index

EWJ

54.06

+0.08

+0.2%

Please Subscribe or Register

Login|Subscribe|Register

Stock Price
Open: 54.05
Prev. Close: 53.98
Low/Hi: 54.00 - 54.09
52-Week: 44.60 - 54.90
Volumes
Equity: 2,686,749
90-Day Avg: 5,925,868
Option: 2,956
90-Day Avg: 5,006
Volatility
Today: 2.3
20-Day: 9.1
52-Week: 10.8
30-Day IV: 9.4 -0.3
IV Rank: 0.47 (Moderate)
Fundamental
Dividend: 19-Dec $0.467 (Est.)
Div. Yield: 1.7%
Net Expense Ratio: 0.48%
Stock Type: ETF | Family: iShares | Category: Japan Stock

EWJ Symbol Review Report

Price Performance:

Today, EWJ has moved +0.2%, 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 2,683,000, which is 0.5x relative to the 90-day average of 5,925,868

SPY's relative volume today is 0.2x, trading 16,556,816 shares against an average of 76,236,492 for the last 90 days.

Volatility:

The current 1-Day OHLC Volatility for EWJ is 2.3 for today. The 20-day average is 6.9, and the 52-week average is 9.3.

The 1-Day OHLC Volatility for SPY is 2.7, while the average over the last 20 days is 5.8, and for the last 52 weeks is 7.5.

Implied Volatility:

The current 30-Day Implied Volatility (IV30) is 9.4, and has moved -2.7% from yesterday. Its IV Ranking is 0.47, which is considered Moderate.

As a comparison, the current IV30 for SPY is 8.2, down -3.7% from the previous day. SPY's IV Rank is Moderate at 0.47.

Over the last 52 weeks, the IV30 Range is 8.5 - 25.7.

Over the same span, SPY's IV30 Range is 6.9 - 20.7.

Based on the IV30, a synthetic put to protect downside risk would cost 1.0%, compared to a 52-week range of 0.9% - 2.9%.

At-the-Money Straddles:

ATM Straddle Expected Range
Expiration $ Premium % Premium Low High
23-Jun-17 0.21 0.4% 53.85 54.26
30-Jun-17 0.58 1.1% 53.48 54.63
07-Jul-17 0.78 1.4% 53.28 54.83
14-Jul-17 0.96 1.8% 53.09 55.02
21-Jul-17 1.16 2.1% 52.90 55.21
28-Jul-17 1.32 2.5% 52.73 55.38
04-Aug-17 1.48 2.7% 52.57 55.54
18-Aug-17 1.75 3.2% 52.31 55.80
15-Sep-17 2.27 4.2% 51.79 56.32
15-Dec-17 3.69 6.8% 50.36 57.75
19-Jan-18 4.19 7.8% 49.86 58.25
18-Jan-19 7.90 14.6% 46.16 61.95

Volatility Skew:

The current downside put implied volatility is trading 14.0% higher than the upside call volatility, which represents a neutral tone when compared to the past year. Over the last year, the downside put has traded on average 14.1% higher than the upside call.

Option Volume:

On the day, EWJ traded 2,956 contracts, with 81.5% being put options. This represents a relative volume of 0.6x compared to the last 90 days, when the average volume was 5,006 and 57.6% 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 1 0.0% 1,500 164 5.5% 13,908 382 12.9% 4,634 547 18.5% 20,042
Put 0 0.0% 0 109 3.7% 9,874 2,301 77.8% 45,719 2,410 81.5% 55,593
Total 2,957 75,635

Most Active Options:

Option Symbol Volume # Trades Last Price Low Price High Price Open Interest IV % IV Change
EWJ 21Jul17 P 52.5 2,278 2 0.18 0.18 0.20 4,273 11.6 -1.0%
EWJ 21Jul17 C 55.5 375 1 0.12 0.12 0.12 745 8.5 -4.8%
EWJ 18Aug17 C 55 52 26 0.47 0.46 0.48 25 9.4 -2.0%
EWJ 18Aug17 P 54 37 21 0.81 0.81 0.84 21,154 10.1 -2.6%
EWJ 15Dec17 C 56 36 6 1.05 1.05 1.15 26 11.3 +0.2%

Biggest Open Interest Increases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
EWJ 21Jul17 P 52.5 4,273 2,313 +1,960 +84.7% 2,278
EWJ 21Jul17 C 55.5 745 370 +375 +101.4% 375
EWJ 7Jul17 C 54 42 0 +42 0
EWJ 14Jul17 P 51.5 40 0 +40 20
EWJ 15Dec17 C 58 38 25 +13 +52.0% 0

Biggest Open Interest Decreases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
EWJ 30Jun17 C 54 379 394 -15 -3.8% 10
EWJ 21Jul17 P 54 325 330 -5 -1.5% 12
EWJ 21Jul17 P 53 7,638 7,641 -3 0.0% 0
EWJ 19Jan18 C 53 5,325 5,327 -2 0.0% 0
EWJ 21Jul17 P 52 1,037 1,039 -2 -0.2% 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 1.73%.