Discussion about this post

User's avatar
Max Bolingbroke's avatar

Seems possible that this is the result of investors putting on pairs trades around earnings announcements?

i.e. imagine that traders check which companies are reporting overnight & go long/short on the companies according to their expectation for the announcement. Then they hang on to the position until the next report date for one of the two companies, at which point they consider the pair trade to be completed & unwind both legs, generating "excess" volume on the non-announcer.

Expand full comment
2 more comments...

No posts