iShares MSCI Japan Index

EWJ

51.52

-0.11

-0.2%

After Hours:

51.52

0.00

0.0%

Stock Price
Open: 51.37
Prev. Close: 51.63
Low/Hi: 51.37 - 51.54
52-Week: 42.92 - 51.76
Volumes
Equity: 5,574,146
90-Day Avg: 9,735,073
Option: 13,363
90-Day Avg: 4,756
Volatility
Today: 8.7
20-Day: 8.5
52-Week: 14.7
30-Day IV: 10.5 +0.0
IV Rank: 0.11 (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-Feb-2017

Price Performance:

On the day, EWJ has moved -0.2%, while SPY has moved +0.1%.

Over the last two weeks, EWJ has moved +0.3%, and SPY has moved +2.3%.

Volume:

EWJ's stock volume on the day is 5,574,146, which is 0.6x relative to the 90-day average of 9,735,073

SPY's relative volume on the day is 0.9x, trading 77,141,484 shares against an average of 82,740,785 for the last 90 days.

Volatility:

The current 1-Day OHLC Volatility for EWJ is 8.7 for the day. The 20-day average is 7.9, and the 52-week average is 12.5.

The 1-Day OHLC Volatility for SPY is 8.3, while the average over the last 20 days is 6.1, and for the last 52 weeks is 8.7.

Implied Volatility:

The current 30-Day Implied Volatility (IV30) is 10.5, and has moved +0.4% from the previous day. Its IV Ranking is 0.11, which is considered Subdued.

As a comparison, the current IV30 for SPY is 8.6, down -3.1% from the previous day. SPY's IV Rank is Subdued at 0.40.

Over the last 52 weeks, the IV30 Range is 10.2 - 25.7.

Over the same span, SPY's IV30 Range is 8.5 - 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-Feb-17 0.04 0.1% 51.48 51.55
03-Mar-17 0.53 1.0% 50.99 52.04
10-Mar-17 0.79 1.5% 50.73 52.30
17-Mar-17 1.03 2.0% 50.49 52.54
24-Mar-17 1.22 2.4% 50.29 52.74
31-Mar-17 1.42 2.8% 50.10 52.93
07-Apr-17 1.59 3.1% 49.93 53.10
21-Apr-17 1.85 3.6% 49.66 53.37
16-Jun-17 2.97 5.8% 48.55 54.48
15-Sep-17 4.34 8.4% 47.17 55.86
19-Jan-18 5.87 11.4% 45.65 57.38
18-Jan-19 9.13 17.7% 42.39 60.64

Volatility Skew:

The current downside put implied volatility is trading 11.5% 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 19.2% higher than the upside call.

Option Volume:

On the day, EWJ traded 13,363 contracts, with 95.7% being put options. This represents a relative volume of 2.8x compared to the last 90 days, when the average volume was 4,756 and 64.5% 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% 0 358 2.8% 43,189 0 0.0% 0 358 2.8% 43,189
Put 3 0.0% 477 12,357 96.2% 1,134,943 133 1.0% 1,773 12,493 97.2% 1,137,193
Total 12,851 1,180,382

Most Active Options:

Option Symbol Volume # Trades Last Price Low Price High Price Open Interest IV % IV Change
EWJ 16Jun17 P 50 12,101 3 0.93 0.90 0.93 431 14.1 +1.6%
EWJ 17Mar17 C 51 259 7 0.80 0.78 0.81 2,488 11.2 +2.2%
EWJ 17Mar17 P 51 254 18 0.36 0.34 0.36 5,895 10.9 +1.8%
EWJ 17Mar17 P 50 119 5 0.13 0.13 0.17 19,387 12.3 +1.7%
EWJ 17Mar17 C 52 29 3 0.30 0.30 0.30 9,181 10.0 -3.6%

Biggest Open Interest Increases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
EWJ 31Mar17 P 52 5,115 4 +5,111 +127775.0% 0
EWJ 21Apr17 P 52 1,105 500 +605 +121.0% 0
EWJ 24Mar17 C 53 1,346 901 +445 +49.4% 0
EWJ 24Mar17 P 50.5 1,325 880 +445 +50.6% 0
EWJ 10Mar17 P 51.5 201 107 +94 +87.9% 0

Biggest Open Interest Decreases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
EWJ 17Mar17 P 49 1,442 1,445 -3 -0.2% 0
EWJ1 19Jan18 P 14 342 345 -3 -0.9% 0
EWJ 17Mar17 P 51 5,895 5,897 -2 0.0% 254

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%.