The financial statements which public companies are required to release can greatly impact the price and implied volatility of relevant equities. Public companies are also required to release the date of the earnings announcement. However, according to our study, the implied volatility fluctuations accompanying the earnings announcements of relevant stocks do not have a significant influence on the volatilities of the indices.
Our study shows that during the earnings seasons, neither implied or realized S&P 500 short-term volatilities are significantly different from their yearly average, and, during the earnings seasons, the premium between implied and realized short-term volatility still holds. This means we can trade indices and sell the over-stated implied volatility without worrying about the influence of the earnings announcements.