iShares MSCI Japan Index

EWJ

60.03

+0.12

+0.2%

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Stock Price
Open: 59.97
Prev. Close: 59.91
Low/Hi: 59.93 - 60.04
52-Week: 48.79 - 60.17
Volumes
Equity: 440,321
90-Day Avg: 6,915,160
Option: 62
90-Day Avg: 18,409
Volatility
Todays Stock Vol: 2.3
20-Day (HV): 9.3
52-Week (HV): 8.1
30-Day IV: 9.9 -0.2
IV Pct Rank: 42% Moderate
Fundamental
Dividend: 19-Dec $0.467 (Est.)
Div. Yield: 1.6%
Net Expense Ratio: 0.48%
Stock Info
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 +0.3%, and SPY has moved +1.8%.

Volume:

EWJ's stock volume today is 440,321, which is 0.1x relative to the 90-day average of 6,915,160

SPY's relative volume today is 0.1x, trading 5,764,752 shares against an average of 67,341,705 for the last 90 days.

Volatility:

The current 1-Day OHLC Volatility for EWJ is 2.3 for today. The 20-day average is 8.4, and the 52-week average is 7.1.

The 1-Day OHLC Volatility for SPY is 2.6, while the average over the last 20 days is 6.5, and for the last 52 weeks is 6.2.

Implied Volatility:

The current 30-Day Implied Volatility (IV30) is 9.9, and has moved -1.9% from yesterday. Its IV % Rank is 0.42, which is considered Moderate.

As a comparison, the current IV30 for SPY is 7.2, down slightly -1.2% from the previous day. SPY's IV % Rank is Subdued at 0.23.

Over the last 52 weeks, the IV30 Range is 7.4 - 13.9.

Over the same span, SPY's IV30 Range is 6.4 - 13.5.

Based on the IV30, a synthetic put to protect downside risk would cost 1.1%, compared to a 52-week range of 0.8% - 1.5%.

At-the-Money Straddles:

ATM Straddle Expected Range
Expiration $ Premium % Premium Low High
15-Dec-17 0.44 0.7% 59.55 60.44
22-Dec-17 0.96 1.6% 59.03 60.96
29-Dec-17 1.11 1.9% 58.88 61.11
05-Jan-18 1.25 2.1% 58.74 61.25
12-Jan-18 1.42 2.4% 58.57 61.42
19-Jan-18 1.56 2.6% 58.44 61.55
26-Jan-18 1.75 2.9% 58.24 61.75
16-Mar-18 2.81 4.7% 57.19 62.80
15-Jun-18 4.30 7.2% 55.70 64.29
18-Jan-19 6.95 11.6% 53.05 66.94
17-Jan-20 10.00 16.7% 49.99 70.00

Volatility Skew:

The current downside put implied volatility is trading 0.0% equal to 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 13.1% higher than the upside call.

Option Volume:

On the day, EWJ traded 62 contracts, with 53.2% being put options. This represents a relative volume of 0.0x compared to the last 90 days, when the average volume was 18,409 and 45.3% 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 27 44.3% 2,917 1 1.6% 13 28 45.9% 2,930
Put 13 21.3% 9,631 3 4.9% 159 17 27.9% 233 33 54.1% 10,023
Total 61 12,953

Most Active Options:

Option Symbol Volume # Trades Last Price Low Price High Price Open Interest IV % IV Change
EWJ 19Jan18 P 68 11 1 8.45 8.45 8.45 95 14.2 +2.5%
EWJ 19Jan18 C 60 8 4 0.59 0.59 0.59 40,385 10.2 -3.0%
EWJ 16Mar18 C 60 6 2 1.27 1.27 1.28 4,177 11.8 -1.9%
EWJ 19Jan18 P 55 5 1 0.07 0.07 0.07 3,532 15.4 -1.6%
EWJ 16Mar18 P 53 5 1 0.16 0.16 0.16 91 16.4 -3.0%

Biggest Open Interest Increases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
EWJ 12Jan18 P 58 2,282 12 +2,270 +18916.7% 0
EWJ 12Jan18 C 61 271 11 +260 +2363.6% 0
EWJ 19Jan18 P 57 4,264 4,101 +163 +4.0% 2
EWJ 15Dec17 P 59.5 6,159 6,084 +75 +1.2% 1
EWJ 19Jan18 P 61 242 179 +63 +35.2% 2

Biggest Open Interest Decreases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
EWJ 15Jun18 C 63 3,295 3,415 -120 -3.5% 0
EWJ 15Dec17 C 59 17,688 17,793 -105 -0.6% 0
EWJ 19Jan18 C 60 40,385 40,453 -68 -0.2% 8
EWJ 19Jan18 C 64 964 989 -25 -2.5% 0
EWJ 19Jan18 P 55 3,532 3,547 -15 -0.4% 5

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 1.56%.

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