<t>Traders typically build up volatilty well before the actually earnings are announced. The actual move is only one day, but volatilty can trade up and down in anticipation of that move. How many pairs of stocks have you looked at? The 15% you gave _does_ seem low, although we have been in a period...

<t>A 120 day period would almost certainly encompass an earnings cycle, a time the non-correlated information is having the maximum impact on volatilties. If the two earnings dates aren't near each other in your two stocks, then there would be very little time for the correlated information to stand...

<t>It'd help to know a bit about your study. What time period did you use? Did you use the same strike for each stock throughout the study, or pick each day's 50 delta call, for example? Did you take time into account? If you start with 90 day options and do a 90 day study, you have a quite differen...