As earnings season gets into full swing, we wondered whether the increase in the number of companies reporting earnings has any impact on overall market volatility. To that end, going back to 2000, we analyzed the number of companies reporting earnings on a daily basis to the intraday high/low spread on the S&P 500.
As the chart to the right highlights, it appears as though intraday volatility peaks ahead of the peak in earnings reports. If we interpolate our findings into the current quarter, we should see some calming in the markets as intraday volatility would have peaked yesterday, while the day with the greatest number of S&P 500 companies reporting earnings would occur on 7/26.
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