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Earnings Analysis
Why this page exists: RMBS 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 RMBS 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 +0.06 (Neutral / Mixed)
| Component | Current bucket | Hist. mean reaction | N |
|---|---|---|---|
| NVDA regime | Strong Down expl. | +2.9% | 4 |
| VIX level | Medium (15-25) | -0.5% | 22 |
| Earnings weekday | Monday | -1.0% | 46 |
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
-1.0%
Median reaction
+0.5%
Avg |move|
7.4%
Up rate
50%
Avg drift T-20
+3.9%
Event-window statistics (all cycles)
| Window | N | Mean | Median | Std | Min / Max | Win% |
|---|---|---|---|---|---|---|
| Drift T-20 → report | 46 | +3.9% | +3.3% | 12.7 | -20.4% / +57.5% | 63% |
| Drift T-5 → report | 46 | +1.6% | +1.6% | 6.1 | -11.8% / +18.6% | 67% |
| Overnight gap | 46 | -2.9% | -2.2% | 6.7 | -21.5% / +9.6% | 28% |
| Reaction day (close→close) | 46 | -1.0% | +0.5% | 9.2 | -28.0% / +13.9% | 50% |
| Follow-through +5d | 46 | +1.1% | +0.6% | 5.3 | -14.9% / +12.7% | 54% |
| Follow-through +20d | 46 | +3.4% | +2.8% | 11.3 | -17.3% / +41.3% | 61% |
| Max favorable excursion (20d) | 46 | +9.6% | +9.6% | 13.0 | -18.4% / +51.4% | 74% |
| Max adverse excursion (20d) | 46 | -8.8% | -7.6% | 9.4 | -30.3% / +7.6% | 15% |
Reaction by regime & calendar
Reaction by report weekday
| Bucket | N | Mean | Median | Std | Win% |
|---|---|---|---|---|---|
| Monday | 46 | -1.0% | +0.5% | 9.2 | 50% |
Reaction by NVDA 20-day regime
| Bucket | N | Mean | Median | Std | Win% |
|---|---|---|---|---|---|
| Strong Down n<10 | 4 | +2.9% | +4.8% | 4.7 | 75% |
| Mild Down n<10 | 8 | +1.9% | +4.4% | 7.5 | 62% |
| Mild Up | 11 | -0.4% | -0.2% | 5.9 | 45% |
| Strong Up | 16 | -2.6% | -0.1% | 12.3 | 50% |
| Sideways n<10 | 7 | -3.5% | -5.7% | 7.0 | 29% |
Reaction by VIX level
| Bucket | N | Mean | Median | Std | Win% |
|---|---|---|---|---|---|
| High (>25) n<10 | 6 | +4.1% | +4.0% | 6.2 | 67% |
| Medium (15-25) | 22 | -0.5% | +3.2% | 10.6 | 59% |
| Low (<15) | 18 | -3.2% | -4.6% | 7.2 | 33% |
Drift T-20 by NVDA regime
| Bucket | N | Mean | Median | Std | Win% |
|---|---|---|---|---|---|
| Strong Up | 16 | +11.6% | +6.8% | 14.0 | 88% |
| Mild Up | 11 | +4.5% | +6.8% | 8.5 | 73% |
| Sideways n<10 | 7 | +2.0% | -0.3% | 8.0 | 43% |
| Mild Down n<10 | 8 | -4.5% | -2.8% | 5.7 | 38% |
| Strong Down n<10 | 4 | -8.0% | -12.1% | 13.3 | 25% |
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 | 22.0% | -21.3% | -17.6% | 0.96x |
| 2026-02-02 | 20.7% | -13.4% | -4.7% | 0.65x |
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 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026-04-27 Monday | 4 | +57.5% | -17.6% | -21.3% | +0.2% | +41.3% | +12.3% | -26.1% | 94% | Strong Up / Medium (15-25) | -1% |
| 2026-02-02 Monday | 1 | +14.5% | -4.7% | -13.4% | +12.7% | -11.0% | -0.7% | -23.1% | 75% | Sideways / Medium (15-25) | +0% |
| 2025-10-27 Monday | +9.2% | -14.8% | -8.7% | +2.0% | -10.6% | +0.7% | -27.4% | 66% | Mild Up / Medium (15-25) | -7% | |
| 2025-07-28 Monday | +0.4% | +5.8% | +13.9% | +3.5% | +0.2% | +21.7% | +1.7% | 30% | Strong Up / Medium (15-25) | +2% | |
| 2025-04-28 Monday | 3 | -2.8% | -0.4% | -5.7% | +2.9% | +11.8% | +11.4% | -10.8% | 108% | Sideways / High (>25) | +3% |
| 2025-02-03 Monday | +12.8% | +2.6% | +6.8% | +4.2% | -17.3% | +14.6% | -15.6% | 46% | Strong Down / Medium (15-25) | +5% | |
| 2024-10-28 Monday | +6.1% | -0.4% | +13.8% | -4.8% | +11.6% | +30.4% | -0.8% | 37% | Strong Up / Medium (15-25) | +29% | |
| 2024-07-29 Monday | -5.0% | -5.6% | -13.0% | -14.9% | -7.6% | -5.4% | -30.3% | 64% | Mild Down / Medium (15-25) | +3% | |
| 2024-04-29 Monday | -2.8% | -4.1% | -9.4% | +3.9% | +2.9% | -0.2% | -13.2% | 39% | Sideways / Low (<15) | -11% | |
| 2024-02-05 Monday | +7.8% | -8.5% | -19.2% | +5.0% | +11.1% | -3.9% | -22.3% | 40% | Strong Up / Low (<15) | -7% | |
| 2023-10-30 Monday | -11.7% | +0.8% | +9.5% | +6.5% | +24.6% | +40.6% | -0.8% | 58% | Mild Down / Medium (15-25) | +38% | |
| 2023-07-31 Monday | -2.4% | -16.1% | -12.4% | -2.1% | -1.3% | -9.0% | -22.5% | 42% | Strong Up / Low (<15) | +9% | |
| 2023-05-01 Monday | -11.7% | -1.1% | +7.1% | -0.0% | +35.1% | +51.4% | -1.7% | 34% | Mild Up / Medium (15-25) | +1% | |
| 2023-02-06 Monday | +17.2% | -5.4% | -1.5% | +7.1% | +1.6% | +7.0% | -8.2% | 39% | Strong Up / Medium (15-25) | +1% | |
| 2022-10-31 Monday | +13.2% | +7.2% | +8.8% | +11.4% | +13.1% | +28.9% | +3.4% | 30% | Mild Up / High (>25) | +10% | |
| 2022-08-01 Monday | +22.7% | -0.2% | +3.8% | +1.1% | -1.4% | +14.0% | -0.4% | 29% | Strong Up / Medium (15-25) | +8% | |
| 2022-05-02 Monday | -18.8% | +1.1% | +2.9% | -7.2% | -4.4% | +6.4% | -8.7% | 45% | Strong Down / High (>25) | +8% | |
| 2022-02-07 Monday | -8.6% | +3.3% | +4.7% | -0.1% | +5.8% | +15.3% | -0.8% | 36% | Mild Down / Medium (15-25) | +31% | |
| 2021-11-01 Monday | +6.0% | -1.7% | +3.2% | -1.1% | +10.9% | +19.2% | -2.1% | 18% | Strong Up / Medium (15-25) | +4% | |
| 2021-08-02 Monday | +0.1% | -1.0% | +4.1% | +0.7% | +0.7% | +7.1% | -2.8% | 19% | Mild Down / Medium (15-25) | +10% | |
| 2021-05-03 Monday | -8.6% | -0.7% | +2.0% | -2.5% | +2.7% | +5.3% | -4.4% | 24% | Mild Up / Medium (15-25) | +19% | |
| 2021-02-01 Monday | +11.8% | -6.2% | -0.2% | +3.3% | +6.4% | +14.2% | -6.2% | 38% | Sideways / High (>25) | +35% | |
| 2020-11-02 Monday | -0.5% | +1.2% | +5.0% | +5.2% | +12.0% | +19.2% | +1.2% | 19% | Mild Down / High (>25) | +15% | |
| 2020-08-03 Monday | +3.1% | -5.4% | -3.8% | -1.9% | -10.5% | -2.2% | -15.5% | 32% | Strong Up / Medium (15-25) | +17% | |
| 2020-05-04 Monday | 1 | +17.0% | +8.3% | +13.9% | +5.8% | +7.8% | +26.2% | +7.6% | 56% | Strong Up / High (>25) | +41% |
| 2020-01-27 Monday | +3.5% | -3.2% | +3.1% | +7.2% | -4.0% | +16.5% | -5.0% | 26% | Sideways / Medium (15-25) | +14% | |
| 2019-11-04 Monday | +9.8% | -4.8% | +1.3% | -3.9% | -11.7% | +5.4% | -11.5% | 24% | Strong Up / Low (<15) | +19% | |
| 2019-07-29 Monday | +7.1% | -3.9% | -0.2% | -7.2% | -10.1% | +2.1% | -10.7% | 21% | Mild Up / Low (<15) | -100% | |
| 2019-04-22 Monday | +14.1% | -3.7% | -3.7% | -0.1% | -2.6% | +1.7% | -7.5% | 21% | Mild Up / Low (<15) | -1% | |
| 2019-01-28 Monday | +14.8% | -5.6% | -3.7% | +10.5% | +21.6% | +22.8% | -7.6% | 30% | Mild Up / Medium (15-25) | +9% | |
| 2018-10-29 Monday | -20.4% | -14.2% | -4.8% | +12.6% | +5.7% | +10.9% | -14.4% | 34% | Strong Down / Medium (15-25) | +1% | |
| 2018-07-30 Monday | +4.6% | -3.7% | -5.8% | +1.9% | -2.8% | -2.3% | -12.3% | 19% | Mild Up / Low (<15) | +6% | |
| 2018-05-07 Monday | +4.9% | -2.5% | -6.2% | -1.1% | +4.4% | -1.9% | -8.0% | 15% | Strong Up / Low (<15) | +2% | |
| 2018-01-29 Monday | -0.5% | -7.8% | -8.3% | -7.0% | -1.7% | -4.9% | -16.6% | 21% | Strong Up / Low (<15) | +1% | |
| 2017-10-23 Monday | +5.8% | +1.8% | +4.8% | +0.4% | +4.6% | +9.8% | +0.1% | 13% | Strong Up / Low (<15) | +12% | |
| 2017-07-24 Monday | +6.8% | +4.3% | +4.3% | -2.3% | -4.4% | +5.5% | -0.7% | 36% | Mild Up / Low (<15) | +8% | |
| 2017-04-24 Monday | +2.6% | 0.0% | -5.5% | 0.0% | -3.9% | +1.0% | -10.8% | 20% | Mild Down / Low (<15) | +13% | |
| 2017-01-30 Monday | -0.3% | -5.4% | -7.2% | -3.3% | -3.2% | -4.1% | -11.5% | 21% | Sideways / Low (<15) | -- | |
| 2016-10-24 Monday | -2.9% | +8.4% | +4.3% | -2.6% | +6.5% | +12.9% | -1.5% | 18% | Mild Up / Low (<15) | +24% | |
| 2016-07-18 Monday | +7.6% | -1.9% | +3.4% | +3.5% | +3.5% | +10.6% | -4.0% | 32% | Strong Up / Low (<15) | +17% | |
| 2016-04-18 Monday | +2.5% | -12.1% | -8.9% | -4.5% | -8.9% | -6.2% | -19.2% | 21% | Mild Up / Low (<15) | +8% | |
| 2016-01-25 Monday | -5.4% | +9.6% | +6.7% | +3.0% | +5.5% | +15.7% | +2.2% | 23% | Strong Down / Medium (15-25) | +18% | |
| 2015-10-19 Monday | +22.6% | -21.5% | -28.0% | +2.4% | +6.4% | -18.4% | -29.0% | 35% | Strong Up / Medium (15-25) | -4% | |
| 2015-07-20 Monday | -13.3% | -3.3% | -0.7% | +2.0% | +5.8% | +9.4% | -5.2% | 29% | Mild Down / Low (<15) | -0% | |
| 2015-04-20 Monday | +0.2% | +2.9% | +11.0% | -0.6% | +2.2% | +13.9% | +2.5% | 29% | Mild Down / Low (<15) | +8% | |
| 2015-01-26 Monday | -9.7% | -1.2% | +8.3% | -1.1% | +6.5% | +18.0% | -2.4% | 35% | Sideways / Medium (15-25) | +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_RMBS.json.
Automated, data-driven · educational only · not financial advice.