Event risk
How big is the average earnings move?
About 3.9% in either direction— that’s the mean absolute earnings-day move across more than 10,000S&P 500 earnings events in this dataset, mid-2021 through mid-2026. But the average is skewed by a few very large moves. The median is 2.5%, the middle half of events land between roughly 1% and 5%, and only the tails get dramatic: about one in four events moves more than 5%, and one in thirteen moves more than 10%.
The average hides a wide range
“Average” is doing a lot of work here. Because earnings surprises occasionally produce 15–30% moves, the mean (3.9%) sits well above the median (2.5%). A more useful way to hold it: roughly 58% of events move more than 2%, about 26% move more than 5%, and about 8% move more than 10%. So a “typical” earnings day is a low-single-digit move, and the risk you’re actually pricing is the tail — the one report in four that gaps hard. Definitions for the gap and the reaction day are in the methodology.
It is not a directional bet
The move is close to symmetric. Of those events, 51.8% gapped up and 47.4% gapped down, for an average signed move of just +0.08% — economically indistinguishable from zero, and more plausibly explained by this dataset’s five-year window skewing toward a bull market than by any genuine positive bias in earnings reactions. Size and direction are separate questions: knowing a stock usually moves 6% tells you nothing about which way.
Tech moves about five times what utilities do
The average move varies sharply by sector. Information Technology has averaged about a 6% absolute earnings-day move in this dataset, with Communication Services and Consumer Discretionary close behind near 5%. At the other end, Utilities average about 1.2%, and Energy and Real Estate under 2%. The full sector breakdown has the complete ranking — but a larger average reaction is a larger bet, not a more predictable one.
Look up a specific stock
The company explorer shows every past earnings gap for any S&P 500 name, its own average and distribution, and a live snapshot of the options market’s implied move for the next report.
Open the explorer →Common questions
Is the options market's implied move a better estimate than the historical average?
For a specific upcoming report, usually yes. The historical average is backward-looking and the same for every quarter; the options market's implied move (priced from the at-the-money straddle on the first expiration after the report) is forward-looking and reprices for each event as expectations change. This site shows a live snapshot of that implied number for upcoming earnings in the company explorer. The one honest caveat: free historical options data isn't available, so there's no way to check here how well-calibrated that implied number has been over time.
Why quote the median instead of the average?
Because a handful of very large moves pull the average up. The mean absolute move is about 3.9%, but the median is 2.5% — meaning a typical earnings day is noticeably smaller than the average suggests. The middle half of all events fall between roughly 1% and 5%. If you want a single number for what to expect on a normal report, the median is the more honest one.
Does a bigger average move make a stock riskier to hold through earnings?
In variance terms, yes — a name that routinely gaps 6% is a larger bet than one that gaps 1.5%. What a bigger move does not mean is a more predictable one. This project tested whether the size or direction of the earnings gap predicts what happens next, and after a market adjustment and an out-of-sample split, no tradeable edge survived. Bigger reactions are bigger coin flips, not better ones.
Educational research, not advice. Past performance does not predict future results.