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Earnings Analysis
Why this page exists: CMRC 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
Thursday, August 06, 2026
Next confirmed CMRC earnings date (source: exchange calendar).
Current regime & edge read
As of 2026-07-24: NVDA Strong Down (nan% 20d), SPY Strong Down (nan%), SOX Mild Down, VIX 18.7 (Medium (15-25)).
EdgeScore -0.13 (Neutral / Mixed)
| Component | Current bucket | Hist. mean reaction | N |
|---|---|---|---|
| NVDA regime | Strong Down expl. | -1.3% | 2 |
| VIX level | Medium (15-25) | -0.5% | 16 |
| Earnings weekday | Thursday | -1.9% | 18 |
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
24
Avg reaction
-3.0%
Median reaction
-5.5%
Avg |move|
9.6%
Up rate
29%
Avg drift T-20
-3.9%
Event-window statistics (all cycles)
| Window | N | Mean | Median | Std | Min / Max | Win% |
|---|---|---|---|---|---|---|
| Drift T-20 → report | 24 | -3.9% | -5.3% | 14.8 | -38.4% / +33.3% | 29% |
| Drift T-5 → report | 24 | -0.3% | -2.5% | 12.3 | -18.3% / +25.8% | 46% |
| Overnight gap | 24 | -1.6% | -0.8% | 9.4 | -21.9% / +27.4% | 42% |
| Reaction day (close→close) | 24 | -3.0% | -5.5% | 12.5 | -30.1% / +28.3% | 29% |
| Follow-through +5d | 24 | +0.2% | -0.7% | 8.2 | -18.7% / +15.3% | 46% |
| Follow-through +20d | 24 | +0.3% | -1.9% | 14.4 | -30.8% / +38.6% | 46% |
| Max favorable excursion (20d) | 24 | +11.7% | +8.1% | 15.2 | -10.8% / +40.2% | 75% |
| Max adverse excursion (20d) | 24 | -16.4% | -14.7% | 11.5 | -41.1% / +6.2% | 8% |
Reaction by regime & calendar
Reaction by report weekday
| Bucket | N | Mean | Median | Std | Win% |
|---|---|---|---|---|---|
| Thursday | 18 | -1.9% | -1.6% | 13.7 | 33% |
| Monday n<10 | 3 | -5.2% | -7.2% | 9.4 | 33% |
| Wednesday n<10 | 2 | -7.6% | -7.6% | 1.5 | 0% |
| Tuesday n<10 | 1 | -8.0% | -8.0% | 0.0 | 0% |
Reaction by NVDA 20-day regime
| Bucket | N | Mean | Median | Std | Win% |
|---|---|---|---|---|---|
| Strong Down n<10 | 2 | -1.3% | -1.3% | 8.5 | 50% |
| Mild Up n<10 | 4 | -1.9% | -9.3% | 16.8 | 25% |
| Strong Up n<10 | 8 | -2.8% | -5.5% | 13.3 | 25% |
| Sideways n<10 | 8 | -4.1% | -1.6% | 11.3 | 38% |
| Mild Down n<10 | 2 | -4.1% | -4.1% | 3.9 | 0% |
Reaction by VIX level
| Bucket | N | Mean | Median | Std | Win% |
|---|---|---|---|---|---|
| Medium (15-25) | 16 | -0.5% | -1.6% | 12.8 | 31% |
| Low (<15) n<10 | 3 | -3.4% | -4.8% | 3.0 | 33% |
| High (>25) n<10 | 5 | -10.9% | -9.1% | 12.2 | 20% |
Drift T-20 by NVDA regime
| Bucket | N | Mean | Median | Std | Win% |
|---|---|---|---|---|---|
| Strong Up n<10 | 8 | +6.0% | -0.4% | 15.1 | 38% |
| Mild Up n<10 | 4 | -3.8% | -2.0% | 6.8 | 50% |
| Sideways n<10 | 8 | -9.5% | -7.6% | 14.5 | 12% |
| Mild Down n<10 | 2 | -10.4% | -10.4% | 11.0 | 50% |
| Strong Down n<10 | 2 | -14.4% | -14.4% | 1.0 | 0% |
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 |
|---|---|---|---|---|
| 2026-05-07 | 33.1% | -12.9% | -1.4% | 0.39x |
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
No earnings cycles inside our chain coverage window yet — this section fills in automatically as coverage grows.
Every earnings cycle
| Report | Pre | Drift20 | Gap | React | +5d | +20d | MFE | MAE | HV20 | NVDA / VIX | Surprise |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026-05-07 Thursday | 2 | +33.3% | -1.4% | -12.9% | -11.6% | -9.0% | +0.8% | -24.9% | 101% | Strong Up / Medium (15-25) | +21% |
| 2026-02-12 Thursday | 1 | -38.4% | +1.6% | +12.6% | +9.0% | -1.1% | +40.2% | +0.8% | 62% | Sideways / Medium (15-25) | +1% |
| 2025-11-06 Thursday | -3.1% | -4.3% | -1.7% | +10.4% | +0.4% | +18.0% | -8.8% | 50% | Sideways / Medium (15-25) | +278% | |
| 2025-07-31 Thursday | -5.3% | -0.4% | -6.1% | +0.7% | +3.8% | +5.7% | -13.4% | 35% | Strong Up / Medium (15-25) | +8% | |
| 2025-05-08 Thursday | -7.0% | +0.1% | -1.4% | +0.4% | +1.9% | +6.8% | -7.1% | 35% | Sideways / Medium (15-25) | +33% | |
| 2025-02-20 Thursday | +0.7% | +2.4% | -0.2% | +13.8% | -4.2% | +18.3% | -9.5% | 51% | Mild Down / Medium (15-25) | +66% | |
| 2024-11-07 Thursday | 1 | +11.8% | +0.3% | -0.6% | -0.8% | +24.4% | +27.4% | -6.1% | 58% | Strong Up / Medium (15-25) | +98% |
| 2024-08-01 Thursday | 1 | -13.3% | -4.7% | -9.8% | -7.8% | -4.7% | -2.4% | -21.8% | 72% | Strong Down / Medium (15-25) | +58% |
| 2024-05-09 Thursday | 2 | +17.1% | +1.1% | +0.8% | +4.2% | +5.4% | +14.2% | -2.9% | 66% | Sideways / Low (<15) | +85% |
| 2024-02-22 Thursday | -0.2% | -1.0% | -4.8% | -1.3% | -5.1% | +0.5% | -15.5% | 55% | Strong Up / Low (<15) | +92% | |
| 2023-11-08 Wednesday | 1 | -8.2% | +0.7% | -6.0% | +10.7% | +6.8% | +8.3% | -8.3% | 67% | Sideways / Low (<15) | +132% |
| 2023-08-03 Thursday | +0.2% | +27.4% | +26.8% | -10.9% | -12.2% | +33.8% | +6.2% | 42% | Mild Up / Medium (15-25) | +78% | |
| 2023-05-04 Thursday | -12.2% | -0.7% | +0.1% | -3.4% | +28.2% | +29.1% | -6.3% | 50% | Sideways / Medium (15-25) | +45% | |
| 2023-02-23 Thursday | -5.2% | -19.2% | -19.2% | +6.5% | -4.7% | -5.2% | -28.3% | 57% | Strong Up / Medium (15-25) | +47% | |
| 2022-11-03 Thursday | 1 | -18.1% | -10.9% | -30.1% | +0.3% | +3.8% | -10.8% | -41.1% | 78% | Sideways / High (>25) | +29% |
| 2022-08-04 Thursday | 2 | -0.6% | -4.6% | +2.6% | +6.3% | -19.4% | +18.8% | -20.9% | 93% | Strong Up / Medium (15-25) | +20% |
| 2022-05-02 Monday | -15.4% | +2.0% | +7.2% | -18.7% | -8.0% | +9.3% | -32.4% | 80% | Strong Down / High (>25) | -2% | |
| 2022-02-28 Monday | -14.7% | -21.9% | -15.6% | -4.4% | -2.8% | -9.5% | -33.3% | 83% | Mild Up / High (>25) | -36% | |
| 2021-11-04 Thursday | -11.6% | +15.1% | +28.3% | -0.6% | -30.8% | +39.9% | -14.0% | 47% | Strong Up / Medium (15-25) | +57% | |
| 2021-08-05 Thursday | +3.3% | -6.1% | -11.4% | -1.4% | -5.7% | -5.8% | -25.4% | 54% | Mild Up / Medium (15-25) | +47% | |
| 2021-05-11 Tuesday | -21.4% | +2.8% | -8.0% | +15.3% | +38.6% | +32.5% | -9.2% | 60% | Mild Down / Medium (15-25) | +67% | |
| 2021-02-22 Monday | 2 | -4.2% | -6.8% | -7.2% | -1.0% | -10.1% | +3.8% | -25.1% | 86% | Mild Up / Medium (15-25) | +17% |
| 2020-11-05 Thursday | -6.3% | -2.6% | -6.8% | -7.8% | +1.0% | -1.6% | -23.8% | 79% | Sideways / High (>25) | +43% | |
| 2020-09-09 Wednesday | 7 | +26.1% | -7.4% | -9.1% | -3.5% | +11.6% | +7.9% | -23.3% | 199% | Strong Up / High (>25) | +12% |
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_CMRC.json.
Automated, data-driven · educational only · not financial advice.