iShares MSCI Japan Index

EWJ

57.52

+0.13

+0.2%

After Hours:

57.52

0.00

0.0%

Please Login or Register

Login|Register FREE

Stock Price
Open: 57.39
Prev. Close: 57.39
Low/Hi: 57.32 - 57.53
52-Week: 48.79 - 57.69
Volumes
Equity: 12,762,047
90-Day Avg: 5,803,226
Option: 11,855
90-Day Avg: 9,249
Volatility
Todays Stock Vol: 3.6
20-Day (HV): 6.7
52-Week (HV): 8.3
30-Day IV: 10.0 +0.0
IV Pct Rank: 42% Moderate
Fundamental
Dividend: 19-Dec $0.467 (Est.)
Div. Yield: 1.6%
Net Expense Ratio: 0.48%
Stock Type: ETF
Family: iShares
Category: Japan Stock
Stock Type: ETF | Family: iShares | Category: Japan Stock

EWJ Symbol Review Report

Report Date: 20-Oct-2017

Price Performance:

On the day, EWJ has moved +0.2%, while SPY has moved +0.5%.

Over the last two weeks, EWJ has moved +2.7%, and SPY has moved +1.1%.

Volume:

EWJ's stock volume on the day is 12,762,047, which is 2.2x relative to the 90-day average of 5,803,226

SPY's relative volume on the day is 1.3x, trading 82,477,282 shares against an average of 61,720,945 for the last 90 days.

Volatility:

The current 1-Day OHLC Volatility for EWJ is 3.6 for the day. The 20-day average is 5.7, and the 52-week average is 7.3.

The 1-Day OHLC Volatility for SPY is 6.3, while the average over the last 20 days is 4.2, and for the last 52 weeks is 6.4.

Implied Volatility:

The current 30-Day Implied Volatility (IV30) is 10.0, and has moved +0.2% from the previous day. Its IV Ranking is 0.42, which is considered Moderate.

As a comparison, the current IV30 for SPY is 6.7, down slightly -1.7% from the previous day. SPY's IV Rank is Subdued at 0.06.

Over the last 52 weeks, the IV30 Range is 7.4 - 18.6.

Over the same span, SPY's IV30 Range is 6.4 - 19.6.

Based on the IV30, a synthetic put to protect downside risk would cost 1.1%, compared to a 52-week range of 0.8% - 2.1%.

At-the-Money Straddles:

ATM Straddle Expected Range
Expiration $ Premium % Premium Low High
20-Oct-17 0.03 0.1% 57.46 57.53
27-Oct-17 0.63 1.1% 56.87 58.12
03-Nov-17 0.91 1.6% 56.59 58.40
10-Nov-17 1.10 1.9% 56.39 58.60
17-Nov-17 1.31 2.3% 56.19 58.80
24-Nov-17 1.39 2.4% 56.11 58.88
01-Dec-17 1.51 2.6% 55.99 59.00
15-Dec-17 1.78 3.1% 55.71 59.28
19-Jan-18 2.42 4.2% 55.08 59.91
16-Mar-18 3.10 5.4% 54.39 60.60
18-Jan-19 6.43 11.2% 51.07 63.92

Volatility Skew:

The current downside put implied volatility is trading 15.8% higher than the upside call volatility, which represents a slightly bearish tone when compared to the past year. Over the last year, the downside put has traded on average 14.4% higher than the upside call.

Option Volume:

On the day, EWJ traded 11,855 contracts, with 8.3% being put options. This represents a relative volume of 1.3x compared to the last 90 days, when the average volume was 9,249 and 61.0% 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 544 4.6% 65,946 9,438 79.6% 482,417 891 7.5% 9,607 10,873 91.7% 557,970
Put 271 2.3% 172,405 85 0.7% 4,364 627 5.3% 7,562 983 8.3% 184,331
Total 11,856 742,301

Most Active Options:

Option Symbol Volume # Trades Last Price Low Price High Price Open Interest IV % IV Change
EWJ 27Oct17 C 57.5 5,169 24 0.25 0.25 0.28 12,712 9.6 +0.4%
EWJ 19Jan18 C 58 3,861 4 0.77 0.77 0.80 4,286 9.9 +2.2%
EWJ 17Nov17 C 59 558 21 0.13 0.10 0.13 48,642 9.4 +2.7%
EWJ 20Oct17 C 56.5 259 71 1.00 0.82 1.03 379 54.3 +691.3%
EWJ 3Nov17 P 55.5 216 10 0.13 0.13 0.13 0 13.1 +0.7%

Biggest Open Interest Increases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
EWJ 18Jan19 C 64 8,016 16 +8,000 +50000.0% 0
EWJ 19Jan18 P 54 3,425 425 +3,000 +705.9% 0
EWJ 19Jan18 P 55 2,752 252 +2,500 +992.1% 0
EWJ 19Jan18 C 57 5,548 3,298 +2,250 +68.2% 26
EWJ 17Nov17 P 57 6,819 5,219 +1,600 +30.7% 60

Biggest Open Interest Decreases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
EWJ 15Dec17 C 57 2,352 2,455 -103 -4.2% 136
EWJ 17Nov17 C 57 9,173 9,226 -53 -0.6% 0
EWJ 20Oct17 P 57.5 2,224 2,261 -37 -1.6% 0
EWJ 20Oct17 C 55 3,032 3,068 -36 -1.2% 47
EWJ 17Nov17 C 58 9,446 9,482 -36 -0.4% 44

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 1.62%.