65 S&P 500 stocks have reported their most recent earnings in the last two weeks. 45% of those stocks reporting had positive price reactions, while 55% were negative. The average return for all stocks was -0.3%.45 of the stocks reporting beat their EPS estimates for this quarter, while 11 fell short.
Earnings typically has a big effect on the opening gap, which is the percentage change from the close before earnings to the opening price immediately after. 29 of the stocks reporting had positive opening gaps, for an average jump of +1.7%. 36 stocks had negative opens, with an average drop of -2.8%.
Option Straddle Returns
We measure option straddle
returns, as buying a straddle is a way to bet on a big volatility move (in either direction) around earnings. Over this period, 38%
of the stocks had straddles that gained value, while 62%
Upcoming Next 2 Weeks
222 S&P 500 stocks are currently scheduled to report earnings in the next two weeks. 182 of those stocks have options priced with implied moves greater than the average of the last four quarters, while 37 are implying lesser moves.