Earnings gap analytics

See how stocks move after earnings — before the next report

Every report of the tracked tickers is measured against the options-implied expected move: gap direction, intraday patterns and how often they played out, season by season.

Example report · daily candles

Expected move corridorOvernight gapSMA 10

Seasonal statistics

BMO and AMC reports grouped by quarter and gap type, with a win rate for every pattern — the spreadsheet view, always up to date.

Intraday charts

1-minute candles from the day before the report to day three, pre-market and after-hours shaded, pattern windows highlighted on hover.

Expected move

The options-implied move is drawn as a corridor on the chart. No options data? The gap is classified by daily ATR instead — and marked as such.

Updated every morning

A bot picks up new reports daily, downloads the candles and recalculates the statistics on its own.

Method

The math behind every row

Each report is reduced to a few transparent numbers — nothing hidden, nothing hand-tuned.

\text{Gap} = \frac{O_t - C_{t-1}}{C_{t-1}} \cdot 100\%

Overnight gap: the report-day open against the previous close.

EM \approx S \cdot \sigma_{IV} \cdot \sqrt{\tfrac{T}{365}}

Expected move implied by options: price × implied volatility × √time.

\text{Win rate} = \frac{\#\,\text{Yes}}{\Sigma} \cdot 100\%

Win rate of a pattern: the share of reports where it played out.

\text{category} = \begin{cases} \text{GAP UP}, & \text{Gap} \ge \tfrac{1}{2}EM \\ \text{GAP DOWN}, & \text{Gap} \le -\tfrac{1}{2}EM \\ \text{FLAT}, & \text{otherwise} \end{cases}

Gap category: half an expected move (or one ATR) decides the direction.

\text{ATR}_{14} = \frac{1}{14}\sum_{i=1}^{14} \max\big(H_i - L_i,\ |H_i - C_{i-1}|,\ |L_i - C_{i-1}|\big)

Average true range — the yardstick when no implied move is available.

From the calendar to a win rate

1Earnings calendar
2Candles & implied move
3Gap category
4Pattern statistics