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Earnings Analysis
Why this page exists: CLS has no documented material pre-announcement habit — the edge here is the earnings-cycle statistics themselves (drift, gap, reaction, follow-through) and how they vary by regime. This page
measures every earnings cycle — drift into the report, the gap, the reaction,
the follow-through — alongside the NVDA / SPY / VIX regime it happened in, and
uses the documented pre-announcement history to project when the next
pre-announcement is most likely to land. All numbers are computed from real
daily prices, real earnings dates, our own ATM-straddle expected moves and
stored option chains, and a
curated registry of real press releases. Nothing is simulated.
Next earnings & predicted pre-announcement window
Monday, July 27, 2026
Next confirmed CLS earnings date (source: exchange calendar).
Current regime & edge read
As of 2026-07-21: NVDA Sideways (-0.7% 20d), SPY Sideways (+0.5%), SOX Strong Down, VIX 17.0 (Medium (15-25)).
EdgeScore +0.12 (Neutral / Mixed)
| Component | Current bucket | Hist. mean reaction | N |
|---|---|---|---|
| NVDA regime | Sideways expl. | -1.6% | 9 |
| SPY regime | Sideways | +0.7% | 22 |
| VIX level | Medium (15-25) | -1.1% | 23 |
| Earnings weekday | Monday expl. | +5.5% | 8 |
EdgeScore = mean of the matching buckets' historical mean earnings reactions, normalized by the average absolute reaction (±1 cap). Transparent and purely historical — not a prediction model.
Cycles
46
Avg reaction
+0.3%
Median reaction
+0.1%
Avg |move|
7.2%
Up rate
50%
Avg drift T-20
+6.0%
Event-window statistics (all cycles)
| Window | N | Mean | Median | Std | Min / Max | Win% |
|---|---|---|---|---|---|---|
| Drift T-20 → report | 46 | +6.0% | +4.4% | 15.1 | -13.2% / +75.1% | 63% |
| Drift T-5 → report | 46 | +2.1% | +1.7% | 8.3 | -18.5% / +35.6% | 67% |
| Overnight gap | 46 | +1.5% | +0.8% | 7.1 | -15.6% / +24.6% | 59% |
| Reaction day (close→close) | 46 | +0.3% | +0.1% | 9.1 | -18.4% / +18.2% | 50% |
| Follow-through +5d | 46 | +2.3% | +1.3% | 6.7 | -10.1% / +25.9% | 61% |
| Follow-through +20d | 46 | +4.6% | +0.5% | 12.1 | -27.8% / +32.9% | 59% |
| Max favorable excursion (20d) | 46 | +12.8% | +8.4% | 13.2 | -3.5% / +54.3% | 85% |
| Max adverse excursion (20d) | 46 | -7.6% | -7.0% | 9.5 | -25.9% / +8.9% | 24% |
Reaction by regime & calendar
Reaction by report weekday
| Bucket | N | Mean | Median | Std | Win% |
|---|---|---|---|---|---|
| Monday n<10 | 8 | +5.5% | +7.4% | 10.5 | 75% |
| Friday n<10 | 1 | +2.4% | +2.4% | 0.0 | 100% |
| Thursday | 11 | -0.1% | -0.4% | 8.9 | 45% |
| Wednesday | 20 | -0.3% | -0.9% | 8.5 | 45% |
| Tuesday n<10 | 6 | -4.0% | -2.3% | 6.0 | 33% |
Reaction by NVDA 20-day regime
| Bucket | N | Mean | Median | Std | Win% |
|---|---|---|---|---|---|
| Mild Down n<10 | 7 | +4.1% | +1.5% | 6.7 | 71% |
| Mild Up | 11 | +2.1% | +3.3% | 9.2 | 55% |
| Strong Up | 14 | -0.5% | -0.9% | 9.7 | 43% |
| Sideways n<10 | 9 | -1.6% | -0.3% | 7.8 | 44% |
| Strong Down n<10 | 5 | -3.0% | -1.9% | 9.1 | 40% |
Reaction by VIX level
| Bucket | N | Mean | Median | Std | Win% |
|---|---|---|---|---|---|
| High (>25) n<10 | 7 | +2.7% | +1.6% | 8.0 | 71% |
| Low (<15) | 16 | +1.3% | +0.5% | 6.3 | 56% |
| Medium (15-25) | 23 | -1.1% | -1.9% | 10.6 | 39% |
Drift T-20 by NVDA regime
| Bucket | N | Mean | Median | Std | Win% |
|---|---|---|---|---|---|
| Strong Up | 14 | +14.9% | +8.5% | 21.5 | 79% |
| Mild Up | 11 | +6.6% | +7.3% | 9.8 | 73% |
| Sideways n<10 | 9 | +3.0% | +4.2% | 6.8 | 56% |
| Mild Down n<10 | 7 | -0.2% | +0.5% | 6.4 | 57% |
| Strong Down n<10 | 5 | -5.8% | -4.9% | 5.2 | 20% |
Documented pre-announcements
No documented pre-announcements in the registry.
Expected move vs actual (our nightly ATM data)
| Report date | Expected move | Actual reaction | Gap | Actual / EM |
|---|---|---|---|---|
| 2026-04-27 | 12.2% | -14.4% | -15.6% | 1.18x |
| 2026-01-28 | 11.6% | -13.1% | -3.8% | 1.13x |
Only cycles inside our own options-database coverage window are shown — we do not fabricate historical implied volatility. Coverage grows each quarter.
Options strategy P&L — priced from our own chains
| Report | Stock react | IV crush | Long ATM Call | Long ATM Put | Long Straddle | Short Straddle | Long Strangle | Short Strangle |
|---|---|---|---|---|---|---|---|---|
| 2026-04-27 exp 2026-05-01 · ATM 422.5 | -14.4% | 144.0% → 103.0% (-41 pts) | -97.4% | +149.3% | +22.9% | -22.9% | +25.1% | -25.1% |
| 2026-01-28 exp 2026-01-30 · ATM 345 | -13.1% | 194.0% → 126.0% (-68 pts) | -99.5% | +136.1% | +17.2% | -17.2% | +21.5% | -21.5% |
How this is priced: entry legs come from our own stored option-chain snapshot on the report day (nightly quotes are frozen at the close, i.e. BEFORE the after-market announcement); exit legs from the reaction-day close snapshot. Front expiry after the reaction day, ATM = strike nearest the pre-report close, strangle = one strike out per side. Marks, not fills — spreads/slippage would reduce long-side returns. One row per earnings cycle inside our chain coverage (grows every quarter automatically).
Every earnings cycle
| Report | Pre | Drift20 | Gap | React | +5d | +20d | MFE | MAE | HV20 | NVDA / VIX | Surprise |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026-04-27 Monday | +50.7% | -15.6% | -14.4% | +16.4% | +2.6% | +3.0% | -23.1% | 60% | Strong Up / Medium (15-25) | +4% | |
| 2026-01-28 Wednesday | +13.8% | -3.8% | -13.1% | -8.1% | -7.0% | -3.2% | -22.8% | 60% | Sideways / Medium (15-25) | +7% | |
| 2025-10-27 Monday | +22.7% | +14.6% | +8.2% | +6.9% | -1.2% | +20.4% | -12.8% | 67% | Mild Up / Medium (15-25) | +6% | |
| 2025-07-28 Monday | +13.6% | +7.6% | +16.5% | -0.3% | -4.5% | +26.2% | -0.1% | 47% | Strong Up / Medium (15-25) | +13% | |
| 2025-04-24 Thursday | 2 | +5.1% | -2.3% | -3.4% | +0.2% | +32.9% | +30.3% | -11.1% | 107% | Mild Down / High (>25) | +8% |
| 2025-01-29 Wednesday | 1 | +5.7% | +16.5% | +13.6% | +25.9% | -5.5% | +43.6% | +1.8% | 129% | Mild Down / Medium (15-25) | +5% |
| 2024-10-23 Wednesday | +13.3% | +9.1% | +18.2% | +2.7% | +28.0% | +54.3% | +8.9% | 43% | Strong Up / Medium (15-25) | +11% | |
| 2024-07-24 Wednesday | 1 | -4.3% | +4.5% | -4.3% | +2.7% | +5.1% | +6.0% | -24.6% | 56% | Mild Down / Medium (15-25) | +12% |
| 2024-04-24 Wednesday | -4.9% | +0.4% | -1.9% | +0.4% | +24.6% | +23.1% | -5.4% | 49% | Strong Down / Medium (15-25) | +15% | |
| 2024-01-29 Monday | +10.0% | +6.0% | +1.7% | +11.6% | +26.2% | +30.4% | 0.0% | 44% | Strong Up / Low (<15) | +12% | |
| 2023-10-25 Wednesday | +8.8% | -4.2% | -10.4% | +6.4% | +17.3% | +12.2% | -17.5% | 41% | Sideways / Medium (15-25) | +9% | |
| 2023-07-26 Wednesday | +15.4% | +24.6% | +9.4% | +15.9% | +22.8% | +37.8% | +7.7% | 29% | Mild Up / Low (<15) | +16% | |
| 2023-04-26 Wednesday | -4.8% | +1.7% | -4.3% | -4.3% | -0.4% | +2.9% | -10.7% | 28% | Sideways / Medium (15-25) | +3% | |
| 2023-01-25 Wednesday | +21.1% | +3.6% | -0.1% | +2.6% | -0.1% | +8.6% | -3.6% | 28% | Strong Up / Medium (15-25) | +4% | |
| 2022-10-24 Monday | +14.7% | +14.8% | +16.4% | -0.9% | +0.1% | +24.2% | +8.7% | 37% | Mild Up / High (>25) | +17% | |
| 2022-07-25 Monday | +7.0% | +1.2% | -6.0% | +5.0% | +11.1% | +10.5% | -13.2% | 34% | Sideways / Medium (15-25) | +4% | |
| 2022-04-27 Wednesday | -13.2% | +5.4% | +7.3% | -1.9% | -9.5% | +9.5% | -6.7% | 24% | Strong Down / High (>25) | +13% | |
| 2022-01-26 Wednesday | -1.8% | +3.4% | +6.1% | +8.8% | 0.0% | +22.1% | +1.8% | 32% | Strong Down / High (>25) | +17% | |
| 2021-10-25 Monday | +0.5% | +5.0% | +6.6% | +1.6% | +11.5% | +25.7% | -0.4% | 27% | Mild Up / Medium (15-25) | +8% | |
| 2021-07-26 Monday | -7.9% | +4.0% | +15.3% | +3.7% | +3.8% | +22.6% | +4.0% | 32% | Sideways / Medium (15-25) | +23% | |
| 2021-04-28 Wednesday | +2.5% | -0.7% | -2.8% | -2.4% | +0.6% | +2.8% | -7.3% | 30% | Strong Up / Medium (15-25) | +8% | |
| 2021-01-26 Tuesday | +13.6% | -3.5% | -4.3% | -0.1% | +3.7% | +7.1% | -10.8% | 29% | Mild Up / Medium (15-25) | +6% | |
| 2020-10-28 Wednesday | -12.5% | -1.3% | +1.5% | +0.8% | +29.2% | +32.8% | -4.5% | 50% | Mild Down / High (>25) | +29% | |
| 2020-07-29 Wednesday | 1 | +17.0% | +3.5% | +4.1% | -0.2% | -4.0% | +7.1% | -2.5% | 60% | Strong Up / Medium (15-25) | +72% |
| 2020-04-29 Wednesday | 2 | +75.1% | -0.7% | +1.6% | -10.1% | +8.2% | +13.7% | -13.4% | 91% | Strong Up / High (>25) | +48% |
| 2020-01-29 Wednesday | +7.3% | +3.7% | +3.3% | -0.9% | -27.8% | +5.0% | -25.9% | 22% | Mild Up / Medium (15-25) | +20% | |
| 2019-10-24 Thursday | -7.3% | -1.6% | -6.5% | +12.3% | +18.2% | +17.6% | -13.5% | 29% | Strong Up / Low (<15) | +6% | |
| 2019-07-24 Wednesday | +6.9% | -8.4% | -1.7% | +1.6% | -3.1% | +2.1% | -9.9% | 28% | Strong Up / Low (<15) | -1% | |
| 2019-04-25 Thursday | 1 | -12.8% | -1.2% | -1.9% | -0.8% | -8.7% | +1.8% | -10.7% | 59% | Mild Up / Low (<15) | -27% |
| 2019-01-31 Thursday | +12.3% | -14.0% | -18.4% | +1.6% | +15.1% | -3.2% | -24.2% | 22% | Mild Up / Medium (15-25) | -5% | |
| 2018-10-24 Wednesday | +1.1% | -7.1% | -11.0% | +5.5% | -0.2% | -1.4% | -17.6% | 32% | Strong Down / High (>25) | -12% | |
| 2018-07-31 Tuesday | -0.3% | +1.7% | +1.6% | +0.9% | +2.7% | +6.6% | -1.2% | 16% | Sideways / Low (<15) | +3% | |
| 2018-04-27 Friday | +8.5% | +1.3% | +2.4% | +3.4% | +4.8% | +8.3% | +0.2% | 22% | Sideways / Medium (15-25) | +1% | |
| 2018-01-24 Wednesday | +4.7% | -6.2% | -5.5% | -3.1% | +0.1% | -1.7% | -9.6% | 18% | Strong Up / Low (<15) | -11% | |
| 2017-10-26 Thursday | -3.7% | -3.5% | -9.4% | -8.0% | +0.4% | -3.5% | -17.7% | 16% | Strong Up / Low (<15) | -2% | |
| 2017-07-25 Tuesday | -2.0% | -0.7% | -5.4% | -6.6% | -10.6% | -0.7% | -16.7% | 18% | Mild Up / Low (<15) | -1% | |
| 2017-04-20 Thursday | +0.5% | +0.3% | +0.4% | +1.2% | -4.8% | +3.5% | -6.2% | 23% | Mild Down / Low (<15) | +4% | |
| 2017-01-26 Thursday | +6.6% | +3.5% | +11.0% | -3.7% | -3.1% | +13.9% | +3.5% | 22% | Mild Down / Low (<15) | +27% | |
| 2016-10-20 Thursday | -1.9% | +5.4% | +10.1% | +4.0% | +7.6% | +20.6% | +3.7% | 15% | Mild Up / Low (<15) | +43% | |
| 2016-07-21 Thursday | -0.4% | +6.7% | +7.6% | +3.3% | -1.7% | +13.7% | +5.5% | 33% | Strong Up / Low (<15) | +4% | |
| 2016-04-21 Thursday | +2.6% | +0.3% | -0.4% | -2.7% | -7.8% | +1.3% | -11.4% | 26% | Mild Up / Low (<15) | +18% | |
| 2016-01-27 Wednesday | -10.0% | -2.9% | -15.7% | +13.5% | +22.7% | +3.9% | -17.9% | 43% | Strong Down / Medium (15-25) | -10% | |
| 2015-10-20 Tuesday | +5.1% | -3.4% | -16.2% | -1.2% | +0.5% | -2.8% | -18.8% | 22% | Strong Up / Medium (15-25) | -30% | |
| 2015-07-23 Thursday | -2.8% | +2.9% | +9.8% | +2.8% | -1.1% | +15.5% | +2.7% | 16% | Mild Down / Low (<15) | +7% | |
| 2015-04-21 Tuesday | +4.2% | +0.3% | +0.6% | +1.5% | +5.2% | +7.0% | -1.0% | 28% | Sideways / Low (<15) | -12% | |
| 2015-01-20 Tuesday | -2.5% | -0.1% | -0.3% | -1.0% | +6.2% | +6.9% | -5.7% | 13% | Sideways / Medium (15-25) | -7% |
Methodology: reaction day = first trading day after the report (AMC assumed). Regimes are 20-trading-day returns (NVDA/SPY/SOX) and VIX close on the report date. Historical implied volatility before our options-DB coverage window (Nov 2025) is NOT reconstructed — realized volatility (HV20) is shown instead. Options strategy P&L and IV crush are priced from OUR OWN stored option chains (one row per contract per pull) for every cycle inside coverage; both sections grow automatically each quarter. Buckets with n<10 are exploratory. Correlation is not causation; small samples dominate the pre-announcement analysis. Pre-announcement registry: screeners/earnings_analysis/preannouncements_CLS.json.
Automated, data-driven · educational only · not financial advice.