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Earnings Analysis
Why this page exists: CTS 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
Tuesday, July 28, 2026
Next confirmed CTS 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 +0.32 (Neutral / Mixed)
| Component | Current bucket | Hist. mean reaction | N |
|---|---|---|---|
| NVDA regime | Strong Down expl. | +1.2% | 5 |
| VIX level | Medium (15-25) | +0.7% | 28 |
| Earnings weekday | Tuesday | +0.5% | 17 |
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
+0.6%
Median reaction
+1.4%
Avg |move|
2.5%
Up rate
63%
Avg drift T-20
+1.1%
Event-window statistics (all cycles)
| Window | N | Mean | Median | Std | Min / Max | Win% |
|---|---|---|---|---|---|---|
| Drift T-20 → report | 46 | +1.1% | +0.9% | 9.3 | -20.7% / +23.5% | 54% |
| Drift T-5 → report | 46 | -0.5% | -0.3% | 6.2 | -17.6% / +12.2% | 48% |
| Overnight gap | 46 | -0.3% | -0.0% | 1.8 | -8.1% / +2.1% | 48% |
| Reaction day (close→close) | 46 | +0.6% | +1.4% | 3.4 | -13.9% / +8.8% | 63% |
| Follow-through +5d | 46 | +1.2% | +1.4% | 3.7 | -7.4% / +7.5% | 65% |
| Follow-through +20d | 46 | +3.0% | +3.5% | 7.8 | -15.6% / +23.4% | 70% |
| Max favorable excursion (20d) | 46 | +9.3% | +8.1% | 7.8 | -4.6% / +31.0% | 98% |
| Max adverse excursion (20d) | 46 | -5.0% | -3.5% | 5.4 | -19.7% / +1.4% | 13% |
Reaction by regime & calendar
Reaction by report weekday
| Bucket | N | Mean | Median | Std | Win% |
|---|---|---|---|---|---|
| Wednesday n<10 | 5 | +3.4% | +2.9% | 1.4 | 100% |
| Friday n<10 | 3 | +3.0% | +3.7% | 1.2 | 100% |
| Thursday | 17 | +0.5% | +0.2% | 3.0 | 53% |
| Tuesday | 17 | +0.5% | +1.3% | 2.4 | 59% |
| Monday n<10 | 4 | -3.3% | -0.9% | 6.3 | 50% |
Reaction by NVDA 20-day regime
| Bucket | N | Mean | Median | Std | Win% |
|---|---|---|---|---|---|
| Mild Down n<10 | 6 | +1.5% | +2.4% | 2.6 | 83% |
| Strong Down n<10 | 5 | +1.2% | +1.9% | 1.6 | 80% |
| Sideways | 10 | +1.0% | +1.3% | 2.3 | 60% |
| Mild Up | 10 | +0.2% | +0.1% | 1.4 | 50% |
| Strong Up | 15 | +0.1% | +1.3% | 5.2 | 60% |
Reaction by VIX level
| Bucket | N | Mean | Median | Std | Win% |
|---|---|---|---|---|---|
| High (>25) n<10 | 6 | +1.1% | +0.9% | 3.1 | 50% |
| Medium (15-25) | 28 | +0.7% | +1.6% | 3.8 | 64% |
| Low (<15) | 12 | +0.2% | +0.9% | 2.6 | 67% |
Drift T-20 by NVDA regime
| Bucket | N | Mean | Median | Std | Win% |
|---|---|---|---|---|---|
| Strong Up | 15 | +3.4% | +4.8% | 6.7 | 73% |
| Sideways | 10 | +2.8% | +1.4% | 11.6 | 60% |
| Mild Up | 10 | +2.3% | +1.3% | 6.7 | 60% |
| Mild Down n<10 | 6 | -0.7% | -4.8% | 9.6 | 33% |
| Strong Down n<10 | 5 | -10.0% | -10.3% | 7.0 | 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 |
|---|---|---|---|---|
| 2026-04-29 | 8.0% | +4.9% | +1.2% | 0.61x |
| 2026-02-10 | 10.0% | -0.2% | +0.6% | 0.02x |
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 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026-04-29 Wednesday | +14.0% | +1.2% | +4.9% | +5.1% | +13.5% | +21.2% | +0.3% | 29% | Strong Up / Medium (15-25) | +19% | |
| 2026-02-10 Tuesday | +23.5% | +0.6% | -0.2% | -5.0% | -15.6% | +2.4% | -19.7% | 30% | Sideways / Medium (15-25) | +3% | |
| 2025-10-28 Tuesday | +1.4% | +0.1% | +1.5% | +2.0% | +3.4% | +8.2% | -0.9% | 41% | Mild Up / Medium (15-25) | -2% | |
| 2025-07-24 Thursday | -2.1% | -0.1% | -1.4% | -5.4% | +0.3% | +1.5% | -9.6% | 27% | Strong Up / Medium (15-25) | +4% | |
| 2025-04-30 Wednesday | 1 | -7.3% | +2.0% | +1.6% | +1.2% | +5.4% | +14.6% | +0.1% | 61% | Sideways / Medium (15-25) | -10% |
| 2025-02-04 Tuesday | -10.3% | -0.0% | +1.9% | -3.2% | -9.6% | +3.2% | -11.0% | 29% | Strong Down / Medium (15-25) | -2% | |
| 2024-10-29 Tuesday | +4.5% | -0.8% | +2.1% | +3.5% | +7.2% | +20.0% | -0.8% | 23% | Strong Up / Medium (15-25) | +17% | |
| 2024-07-30 Tuesday | -2.4% | +0.7% | +2.1% | -7.4% | +0.2% | +5.2% | -10.0% | 41% | Strong Down / Medium (15-25) | +3% | |
| 2024-05-01 Wednesday | +5.8% | +1.0% | +2.3% | +4.9% | +10.2% | +14.7% | -0.0% | 30% | Mild Down / Medium (15-25) | +16% | |
| 2024-02-06 Tuesday | 1 | +5.1% | -8.1% | -7.0% | +3.3% | +4.5% | +2.3% | -8.1% | 45% | Strong Up / Low (<15) | +6% |
| 2023-10-26 Thursday | -8.8% | -0.9% | -3.7% | +7.5% | +8.4% | +8.0% | -6.8% | 17% | Mild Down / Medium (15-25) | -1% | |
| 2023-07-25 Tuesday | +0.9% | -0.1% | +2.4% | +7.4% | +4.6% | +11.2% | -0.1% | 26% | Strong Up / Low (<15) | +7% | |
| 2023-04-27 Thursday | -8.4% | -1.5% | -3.5% | +3.5% | +13.9% | +12.6% | -6.4% | 39% | Sideways / Medium (15-25) | +9% | |
| 2023-02-07 Tuesday | -1.1% | -0.6% | +1.3% | +3.2% | +2.3% | +8.4% | -1.1% | 43% | Strong Up / Medium (15-25) | -3% | |
| 2022-10-26 Wednesday | 1 | -14.7% | -0.0% | +5.2% | +6.4% | +11.0% | +19.6% | -0.0% | 76% | Sideways / High (>25) | -3% |
| 2022-07-26 Tuesday | +9.5% | -0.9% | +1.7% | +4.6% | +11.4% | +15.6% | -1.2% | 30% | Sideways / Medium (15-25) | -2% | |
| 2022-04-28 Thursday | -2.7% | -0.9% | +2.0% | +1.4% | +11.2% | +15.5% | -0.9% | 38% | Strong Down / High (>25) | +27% | |
| 2022-02-08 Tuesday | -9.1% | +2.1% | +3.3% | +2.5% | +3.6% | +16.9% | +1.0% | 28% | Mild Down / Medium (15-25) | +4% | |
| 2021-10-27 Wednesday | +9.0% | +1.4% | +2.9% | +5.4% | +8.0% | +12.6% | +1.4% | 36% | Strong Up / Medium (15-25) | +23% | |
| 2021-07-27 Tuesday | -6.4% | +1.6% | +2.4% | +1.9% | +2.6% | +10.7% | +0.3% | 28% | Mild Down / Medium (15-25) | +36% | |
| 2021-04-29 Thursday | -3.8% | +1.8% | +8.8% | +0.1% | +17.9% | +31.0% | +1.0% | 29% | Strong Up / Medium (15-25) | +23% | |
| 2021-02-09 Tuesday | -9.9% | +1.5% | -0.8% | -0.6% | +1.6% | +2.1% | -5.6% | 42% | Mild Up / Medium (15-25) | +26% | |
| 2020-10-29 Thursday | +17.6% | +0.2% | +4.5% | +5.8% | +13.2% | +24.8% | -0.7% | 31% | Mild Down / High (>25) | +40% | |
| 2020-07-31 Friday | +1.0% | -0.8% | +3.9% | +5.4% | +3.6% | +15.5% | -1.3% | 44% | Strong Up / Medium (15-25) | +140% | |
| 2020-04-23 Thursday | 2 | +9.9% | -0.6% | -3.2% | +5.2% | -6.3% | +9.7% | -19.7% | 94% | Strong Up / High (>25) | +36% |
| 2020-02-04 Tuesday | +1.9% | +0.9% | 0.0% | -3.2% | -10.5% | +1.8% | -16.6% | 26% | Mild Up / Medium (15-25) | +5% | |
| 2019-10-24 Thursday | 1 | -13.8% | +0.1% | -0.3% | -4.3% | -5.0% | +1.4% | -5.7% | 69% | Strong Up / Low (<15) | -25% |
| 2019-07-25 Thursday | +15.1% | +0.7% | +2.3% | -1.2% | -9.5% | +3.8% | -12.4% | 25% | Mild Up / Low (<15) | +7% | |
| 2019-04-25 Thursday | +2.9% | -0.5% | +0.4% | -0.7% | -8.4% | +2.8% | -11.2% | 25% | Mild Up / Low (<15) | +5% | |
| 2019-02-05 Tuesday | +12.7% | +0.1% | -0.8% | +4.0% | +3.8% | +10.2% | -2.7% | 24% | Mild Up / Medium (15-25) | -- | |
| 2018-10-25 Thursday | -20.7% | -1.1% | +1.9% | -0.2% | +4.8% | +9.2% | -1.7% | 25% | Strong Down / Medium (15-25) | +3% | |
| 2018-07-26 Thursday | -1.4% | -0.0% | -1.0% | -0.1% | -1.7% | +2.1% | -5.0% | 31% | Mild Up / Low (<15) | +16% | |
| 2018-04-26 Thursday | +11.4% | +0.3% | -0.7% | +3.4% | +8.1% | +9.4% | -1.8% | 22% | Sideways / Medium (15-25) | +13% | |
| 2018-02-06 Tuesday | +0.8% | -0.6% | -0.2% | -3.5% | -1.7% | +1.3% | -6.3% | 36% | Sideways / High (>25) | +30% | |
| 2017-10-26 Thursday | +6.5% | +0.4% | +2.1% | +1.3% | +3.0% | +7.8% | -2.7% | 21% | Strong Up / Low (<15) | +8% | |
| 2017-07-27 Thursday | -0.2% | -0.0% | +0.2% | +0.9% | -1.4% | +3.4% | -2.0% | 23% | Mild Up / Low (<15) | -3% | |
| 2017-04-27 Thursday | +2.1% | +0.9% | +1.6% | -1.6% | -5.9% | +4.1% | -6.9% | 32% | Sideways / Low (<15) | -- | |
| 2017-02-07 Tuesday | +4.8% | +0.2% | -2.4% | +2.9% | -4.7% | +2.4% | -7.0% | 41% | Strong Up / Low (<15) | +26% | |
| 2016-10-28 Friday | -5.7% | +0.8% | +3.7% | -7.1% | +23.4% | +29.9% | -3.7% | 36% | Sideways / Medium (15-25) | +19% | |
| 2016-07-29 Friday | +6.6% | -0.6% | +1.3% | +0.5% | -0.5% | +3.6% | -3.2% | 21% | Strong Up / Low (<15) | -5% | |
| 2016-05-03 Tuesday | 1 | +16.7% | -1.5% | +0.9% | -2.5% | +1.1% | +2.1% | -6.6% | 38% | Sideways / Medium (15-25) | +16% |
| 2016-02-08 Monday | -14.1% | -2.3% | -2.0% | +2.8% | +9.7% | +13.1% | -5.5% | 43% | Strong Down / High (>25) | -21% | |
| 2015-10-26 Monday | +9.9% | -4.8% | -13.9% | +5.7% | +7.6% | -4.6% | -16.4% | 21% | Strong Up / Medium (15-25) | -3% | |
| 2015-07-27 Monday | -3.3% | -4.5% | +0.2% | +0.4% | -4.6% | +3.6% | -4.5% | 13% | Mild Down / Medium (15-25) | +15% | |
| 2015-04-27 Monday | +1.2% | -0.6% | +2.4% | -1.6% | +0.4% | +6.2% | -2.3% | 19% | Mild Up / Low (<15) | -11% | |
| 2015-02-05 Thursday | -0.5% | +0.7% | -1.9% | +1.4% | +3.7% | +5.8% | -4.4% | 33% | Mild Up / Medium (15-25) | -2% |
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_CTS.json.
Automated, data-driven · educational only · not financial advice.