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  • Citi Earnings Reporting Day : Historical Patterns 0 comments
    Apr 15, 2013 3:17 AM | about stocks: C

    Citigroup (NYSE:C) Earnings Day Historical Stock Performance

    With Citigroup set to report Q1 earnings Before Market Open, we looked at how the $C stock reacts to post earnings announcement since Jan 2000.

    Over Night Gap Movement for Citigroup before earnings are reported since Jan 2000

    here is how the Citigroup Inc stock price gap'ed before earnings are reported

    below the backtest performance summary,assuming one is holding on to longs.

    • Winners : 30
    • Losers : 23
    • % Winners : 57%
    • Average Change % : 0.84
    • Median Change % : 0.69
    • Maximum Gain % : 10.20
    • Maximum Loss % : -5.05
    • Average Gain %if Winner : 2.81
    • Average Loss % if Loser : -1.89
    • Average Gain % / Average Loss % : 1.48
    • Average Absolute Change% : 2.43

    Citigroup Overnight Gap Movements prior to Earnings Reporting since Jan 2000

    Period Earnings Date Overnight Gap Gap %
    Q1 2013 15-Apr-13 ?? ??
    Q4 2012 17-Jan-13 -0.95 -2.24
    Q3 2012 15-Oct-12 0.65 1.87
    Q2 2012 16-Jul-12 0.8 3
    Q1 2012 16-Apr-12 0.76 2.28
    Q4 2011 17-Jan-12 -1.55 -5.05
    Q3 2011 17-Oct-11 0.42 1.48
    Q2 2011 15-Jul-11 1.12 2.88
    Q1 2011 18-Apr-11 0 0
    Q4 2010 18-Jan-11 -1.99 -3.89
    Q3 2010 18-Oct-10 0.49 1.24
    Q2 2010 16-Jul-10 -1.09 -2.63
    Q1 2010 19-Apr-10 0.91 2
    Q4 2009 19-Jan-10 -0.8 -2.34
    Q3 2009 15-Oct-09 -1.99 -3.99
    Q2 2009 17-Jul-09 1.5 4.96
    Q1 2009 17-Apr-09 1.39 3.47
    Q4 2008 16-Jan-09 3.89 10.2
    Q3 2008 16-Oct-08 -2.16 -1.35
    Q2 2008 18-Jul-08 17.69 10.19
    Q1 2008 18-Apr-08 16.22 7.08
    Q4 2007 15-Jan-08 -7.54 -2.75
    Q3 2007 15-Oct-07 -7.45 -1.67
    Q2 2007 20-Jul-07 2.85 0.61
    Q1 2007 16-Apr-07 6.02 1.28
    Q4 2006 19-Jan-07 -3.52 -0.72
    Q3 2006 19-Oct-06 -3.93 -0.88
    Q2 2006 17-Jul-06 -5.92 -1.41
    Q1 2006 17-Apr-06 3.15 0.75
    Q4 2005 20-Jan-06 -6.33 -1.52
    Q3 2005 17-Oct-05 2.65 0.69
    Q2 2005 18-Jul-05 -6.11 -1.55
    Q1 2005 15-Apr-05 5.46 1.43
    Q4 2004 20-Jan-05 -4.5 -1.12
    Q3 2004 14-Oct-04 1.07 0.29
    Q2 2004 15-Jul-04 0.01 0
    Q1 2004 15-Apr-04 -5.27 -1.27
    Q4 2003 20-Jan-04 4.03 1.01
    Q3 2003 20-Oct-03 -7.84 -2.03
    Q2 2003 14-Jul-03 6.74 1.84
    Q1 2003 14-Apr-03 3.86 1.31
    Q4 2002 21-Jan-03 4.24 1.47
    Q3 2002 15-Oct-02 21.01 8.88
    Q2 2002 17-Jul-02 10.14 3.87
    Q1 2002 15-Apr-02 -1.08 -0.32
    Q4 2001 17-Jan-02 8.91 2.54
    Q3 2001 17-Oct-01 6.16 1.87
    Q2 2001 16-Jul-01 8.14 2.33
    Q1 2001 16-Apr-01 4.27 1.27
    Q4 2000 16-Jan-01 -4.05 -1.07
    Q3 2000 17-Oct-00 7.08 1.97
    Q2 2000 19-Jul-00 -2.32 -0.66
    Q1 2000 17-Apr-00 -3.96 -1.29
    Q4 1999 18-Jan-00 0.32 0.1

    Citigroup Stock Price Intra-day Movement post earnings since Jan 2000

    here is how the Citigroup Inc Stock Price moved from Open to Close on earnings reporting day ( assuming one is holding on to longs)

    • Winners : 16
    • Losers : 37
    • % Winners : 30%
    • Average Change % : -1.12
    • Median Change % : -1.09
    • Maximum Gain % : 6.00
    • Maximum Loss % : -17.07
    • Average Gain %if Winner : 2.47
    • Average Loss % if Loser : -2.75
    • Average Gain % / Average Loss % : 0.90
    • Average Absolute Change% : 2.66

    Citigroup stock price change during intra-day ( from Open to Close) on earnings reporting day since Jan 2000

    Date Change from Open to Close Change%
    17-Jan-13 -0.29 -0.70
    15-Oct-12 1.26 3.56
    16-Jul-12 -0.64 -2.33
    16-Apr-12 -0.17 -0.50
    17-Jan-12 -0.96 -3.29
    17-Oct-11 -0.89 -3.09
    15-Jul-11 -1.76 -4.39
    18-Apr-11 0.00 0.00
    18-Jan-11 -1.30 -2.64
    18-Oct-10 1.70 4.26
    16-Jul-10 -1.50 -3.71
    19-Apr-10 2.29 4.94
    19-Jan-10 2.00 6.00
    15-Oct-09 -0.50 -1.04
    17-Jul-09 -1.60 -5.04
    17-Apr-09 -4.99 -12.05
    16-Jan-09 -7.17 -17.07
    16-Oct-08 -1.08 -0.69
    18-Jul-08 -4.35 -2.27
    18-Apr-08 -5.91 -2.41
    15-Jan-08 -12.45 -4.67
    15-Oct-07 -7.73 -1.76
    20-Jul-07 -6.53 -1.38
    16-Apr-07 6.10 1.28
    19-Jan-07 4.51 0.93
    19-Oct-06 1.07 0.24
    17-Jul-06 -4.51 -1.09
    17-Apr-06 -0.53 -0.13
    20-Jan-06 -13.16 -3.22
    17-Oct-05 -4.63 -1.19
    18-Jul-05 -5.94 -1.53
    15-Apr-05 -2.52 -0.65
    20-Jan-05 2.25 0.57
    14-Oct-04 -4.46 -1.22
    15-Jul-04 -7.29 -1.97
    15-Apr-04 -3.09 -0.76
    20-Jan-04 -5.72 -1.42
    20-Oct-03 5.92 1.56
    14-Jul-03 0.95 0.25
    14-Apr-03 4.66 1.56
    21-Jan-03 -9.42 -3.22
    15-Oct-02 8.90 3.45
    17-Jul-02 -4.85 -1.78
    15-Apr-02 -7.43 -2.19
    17-Jan-02 -1.44 -0.40
    17-Oct-01 -2.79 -0.83
    16-Jul-01 -6.07 -1.70
    16-Apr-01 -6.76 -1.98
    16-Jan-01 15.13 4.05
    17-Oct-00 -17.21 -4.69
    19-Jul-00 9.27 2.64
    17-Apr-00 10.57 3.49
    18-Jan-00 2.32 0.76

    Intra-day Citigroup price movement since Jan 2000 post earnings if stock price gaps up

    here is how the Citigroup Inc stock price moved from open to close on earnings day ( assuming one is holding on to longs) , if the share price gaps up ( that is earnings reporting day open is price greater than the previous trading day's closing price)

    • Winners : 8
    • Losers : 23
    • % Winners : 26%
    • Average Change % : -1.67
    • Median Change % : -1.38
    • Maximum Gain % : 4.94
    • Maximum Loss % : -17.07
    • Average Gain %if Winner : 2.51
    • Average Loss % if Loser : -3.12
    • Average Gain % / Average Loss % : 0.80
    • Average Absolute Change% : 2.96

    Citigroup stock price change during Intra-day ( from Open till Close) on earnings reporting day since Jan 2000 , if the Stock Gaps up

    Date Gap % Close - Open Change%
    15-Oct-12 1.87 1.26 3.56
    16-Jul-12 3 -0.64 -2.33
    16-Apr-12 2.28 -0.17 -0.5
    17-Oct-11 1.48 -0.89 -3.09
    15-Jul-11 2.88 -1.76 -4.39
    18-Oct-10 1.24 1.7 4.26
    19-Apr-10 2 2.29 4.94
    17-Jul-09 4.96 -1.6 -5.04
    17-Apr-09 3.47 -4.99 -12.05
    16-Jan-09 10.2 -7.17 -17.07
    18-Jul-08 10.19 -4.35 -2.27
    18-Apr-08 7.08 -5.91 -2.41
    20-Jul-07 0.61 -6.53 -1.38
    16-Apr-07 1.28 6.1 1.28
    17-Apr-06 0.75 -0.53 -0.13
    17-Oct-05 0.69 -4.63 -1.19
    15-Apr-05 1.43 -2.52 -0.65
    14-Oct-04 0.29 -4.46 -1.22
    15-Jul-04 0 -7.29 -1.97
    20-Jan-04 1.01 -5.72 -1.42
    14-Jul-03 1.84 0.95 0.25
    14-Apr-03 1.31 4.66 1.56
    21-Jan-03 1.47 -9.42 -3.22
    15-Oct-02 8.88 8.9 3.45
    17-Jul-02 3.87 -4.85 -1.78
    17-Jan-02 2.54 -1.44 -0.4
    17-Oct-01 1.87 -2.79 -0.83
    16-Jul-01 2.33 -6.07 -1.7
    16-Apr-01 1.27 -6.76 -1.98
    17-Oct-00 1.97 -17.21 -4.69
    18-Jan-00 0.1 2.32 0.76

    Intraday Citigroup movement ( change from open to close) since Jan 2000 on earnings reporting day , if stock price gaps down

    here is how the Citigroup Inc stock price moved from Open to Close on earnings reporting day (assuming one is holding on to longs) , if the stock price gaps down

    • Winners : 8
    • Losers : 13
    • % Winners : 38%
    • Average Change % : -0.37
    • Median Change % : -0.76
    • Maximum Gain % : 6.00
    • Maximum Loss % : -4.67
    • Average Gain %if Winner : 2.44
    • Average Loss % if Loser : -2.10
    • Average Gain % / Average Loss % : 1.16
    • Average Absolute Change% : 2.23

    Citigroup stock price change during Intraday ( from Open till Close) on earnings reporting day since Jan 2000 , if the Stock price Gaps down

    Date Gap % Close - Open Change %
    17-Jan-13 -2.24 -0.29 -0.7
    17-Jan-12 -5.05 -0.96 -3.29
    18-Jan-11 -3.89 -1.3 -2.64
    16-Jul-10 -2.63 -1.5 -3.71
    19-Jan-10 -2.34 2 6
    15-Oct-09 -3.99 -0.5 -1.04
    16-Oct-08 -1.35 -1.08 -0.69
    15-Jan-08 -2.75 -12.45 -4.67
    15-Oct-07 -1.67 -7.73 -1.76
    19-Jan-07 -0.72 4.51 0.93
    19-Oct-06 -0.88 1.07 0.24
    17-Jul-06 -1.41 -4.51 -1.09
    20-Jan-06 -1.52 -13.16 -3.22
    18-Jul-05 -1.55 -5.94 -1.53
    20-Jan-05 -1.12 2.25 0.57
    15-Apr-04 -1.27 -3.09 -0.76
    20-Oct-03 -2.03 5.92 1.56
    15-Apr-02 -0.32 -7.43 -2.19
    16-Jan-01 -1.07 15.13 4.05
    19-Jul-00 -0.66 9.27 2.64
    17-Apr-00 -1.29 10.57 3.49

    ps: The Price data is adjusted for splits and dividends.

    Conclusion : should Citi opens with positive gap , traders can short , which had a historical win rate of 74%, for an average trade percent of -1.67 % and a median trade percent of -1.38%

    Disclosure: I have no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours. I wrote this article myself, and it expresses my own opinions. I am not receiving compensation for it (other than from Seeking Alpha). I have no business relationship with any company whose stock is mentioned in this article.

    Stocks: C
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