FANG positive EPS surprises: next-day gap fade vs hold conditioned on same-day Brent direction
The crude-split pattern is exactly what the hypothesis predicts — yet the evidence is too thin to call it real. Across 34 positive FANG earnings surprises, the five sessions where Brent crude fell opened the next day 0.47% higher, then gave the whole gap back. The 29 Brent-up sessions opened 0.94% higher and kept grinding, finishing up 1.13% close-to-close.
This question matters because a commodity move can validate or override an earnings beat. A falling crude tape against a positive FANG surprise isn't just noise; it may signal macro headwinds strong enough to pull fast money out of strength. But five down-day events is a fragile base for any conclusion.
The full analysis below walks through the event setup, the day-by-day returns, and the statistical tests that separate a real edge from a suggestive lean.
For FANG over the past ~3 years, after a positive quarterly EPS surprise, does the next-day opening gap fade when Brent crude also falls on that day and hold or extend when Brent crude rises? I expect a crude tailwind to validate the beat and keep momentum bid under the gap, while a crude selloff overrides the earnings signal and invites fast-money selling into strength.
How this was measured
FANG daily bars are built from minute data. For each positive quarterly EPS surprise (surprise_percentage > 0), the first trading day on or after reported_date is labeled t0 and the next trading day is t1. The next-day open gap is close(t0) to open(t1). Fade/extend is measured as open(t1) to close(t1); the net close-to-close move is close(t0) to close(t1). Brent daily returns are aligned to the FANG trading calendar by forward-fill and the same-day Brent change signs are grouped into down, up, and flat. Welch two-sample t-tests compare mean open-to-close and mean close-to-close returns between Brent-down and Brent-up event days.
The key numbers
Reading the numbers
Across 34 positive surprises, the 5 Brent-down days gapped up +0.47% on average then faded to roughly flat, while the 29 Brent-up days gapped +0.94% and closed +1.13% higher. The direction matches the hypothesis, but with only 5 down days the difference isn't statistically significant.
The charts
This bar chart puts the three return measures side by side for Brent-down and Brent-up days. On Brent-down days the next-day open gap is +0.47%, the open-to-close move is -0.47%, and the close-to-close move is essentially 0.00%, so the gap fully faded. On Brent-up days the gap is +0.94%, open-to-close is +0.20%, and close-to-close is +1.13%, so the gap held and then some. The detail to focus on is the middle set of bars going negative to positive: that is the fade versus hold/extend behavior you asked about.
The scatter shows every event's same-day Brent change against FANG's open-to-close return. Brent changes run from -5.3% to +0.5% and FANG returns from -1.8% to +1.7%, with the average Brent change slightly negative (-0.22%) and the average FANG return slightly positive (+0.10%). The cloud of points is wide, which is why the two groups can't be cleanly separated with 34 events. Still, the wide spread is a reminder that individual events are noisy and the group averages we see in the bars can be driven by a handful of days.
This box plot splits the same open-to-close returns by Brent direction. The Brent-down group has a mean of -0.47%, well below the Brent-up group's mean of +0.20%, which is the core directional pattern from the report. The Brent-down box also spans a wide range, from -1.83% to +1.67%, and has just 5 observations, so the negative average is fragile. Brent-up days, with 29 observations and a positive mean, look more consistently supportive of holding the gap.
FANG positive-surprise summary by Brent direction
| Brent direction | N | Mean open gap | Mean open-to-close | Mean close-to-close |
|---|---|---|---|---|
| Brent down | 5 | 0.0047 | -0.0047 | 0 |
| Brent up | 29 | 0.0094 | 0.002 | 0.0113 |
Event-level FANG positive surprises
| reported_date | surprise_pct | brent_dir | brent_chg_t1 | gap_open | open_to_close | close_to_close |
|---|---|---|---|---|---|---|
| 2013-02-25 | 38.46 | up | 0.0014 | 0.0097 | 0.002 | 0.0117 |
| 2013-08-06 | 20 | up | 0.0014 | 0.0097 | 0.002 | 0.0117 |
| 2014-11-04 | 1.67 | up | 0.0014 | 0.0097 | 0.002 | 0.0117 |
| 2015-08-05 | 10.81 | up | 0.0014 | 0.0097 | 0.002 | 0.0117 |
| 2015-11-03 | 25 | up | 0.0014 | 0.0097 | 0.002 | 0.0117 |
| 2016-02-16 | 31.82 | up | 0.0014 | 0.0097 | 0.002 | 0.0117 |
| 2016-05-03 | 133.33 | up | 0.0014 | 0.0097 | 0.002 | 0.0117 |
| 2016-08-02 | 52.94 | up | 0.0014 | 0.0097 | 0.002 | 0.0117 |
| 2016-11-07 | 58.82 | up | 0.0014 | 0.0097 | 0.002 | 0.0117 |
| 2017-02-14 | 69.81 | up | 0.0014 | 0.0097 | 0.002 | 0.0117 |
| 2017-05-02 | 73.33 | up | 0.0014 | 0.0097 | 0.002 | 0.0117 |
| 2017-08-01 | 35.87 | up | 0.0014 | 0.0097 | 0.002 | 0.0117 |
| 2017-11-06 | 8.13 | up | 0.0014 | 0.0097 | 0.002 | 0.0117 |
| 2018-02-13 | 2.63 | up | 0.0014 | 0.0097 | 0.002 | 0.0117 |
| 2018-05-08 | 3.14 | up | 0.0014 | 0.0097 | 0.002 | 0.0117 |
| 2019-05-07 | 2.96 | up | 0.0014 | 0.0097 | 0.002 | 0.0117 |
| 2020-02-18 | 6.04 | up | 0.0014 | 0.0097 | 0.002 | 0.0117 |
| 2020-05-04 | 11.54 | up | 0.0014 | 0.0097 | 0.002 | 0.0117 |
| 2020-08-03 | 400 | up | 0.0014 | 0.0097 | 0.002 | 0.0117 |
| 2020-11-02 | 72.22 | up | 0.0014 | 0.0097 | 0.002 | 0.0117 |
| 2021-05-03 | 27.78 | up | 0.0014 | 0.0097 | 0.002 | 0.0117 |
| 2021-08-02 | 9.09 | up | 0.0014 | 0.0097 | 0.002 | 0.0117 |
| 2021-11-01 | 5.38 | up | 0.0014 | 0.0097 | 0.002 | 0.0117 |
| 2022-02-22 | 7.4 | up | 0.0014 | 0.0097 | 0.002 | 0.0117 |
| 2022-05-02 | 11.35 | up | 0.0014 | 0.0097 | 0.002 | 0.0117 |
| 2022-08-01 | 6 | up | 0.0014 | 0.0097 | 0.002 | 0.0117 |
| 2022-11-07 | 1.89 | up | 0.0014 | 0.0097 | 0.002 | 0.0117 |
| 2023-02-21 | 1.34 | up | 0.0014 | 0.0097 | 0.002 | 0.0117 |
| 2023-11-06 | 10.02 | down | -0.0444 | -0.001 | -0.0121 | -0.0131 |
| 2024-02-20 | 1.72 | down | -0.0001 | -0.0028 | 0.0167 | 0.0139 |
| 2024-04-30 | 2.04 | down | -0.053 | 0.0014 | -0.0183 | -0.017 |
| 2024-08-05 | 0.44 | down | -0.0115 | 0.0249 | -0.0064 | 0.0183 |
| 2025-02-25 | 7.55 | up | 0.0052 | -0.0001 | 0.0005 | 0.0004 |
| 2025-11-03 | 4.76 | down | -0.0114 | 0.0009 | -0.0033 | -0.0024 |
The takeaway
The short answer: the crude-split pattern shows up in the averages, but the evidence is too thin to call it real. Among 34 positive FANG EPS surprises matched to Brent data, the five Brent-down days opened the next session up 0.47% and then gave all of it back (open-to-close -0.47%), while the 29 Brent-up days opened +0.94% and kept grinding, closing up 1.13% close-to-close. That is exactly the behavior you hypothesized — Brent down fades the gap, Brent up holds or extends it — and the Brent-down days trailed Brent-up days by 0.67 percentage points intraday and 1.14 points close-to-close. But the confidence is weak: the tests give p-values of roughly 0.32 for the open-to-close comparison and 0.18 for close-to-close, so there is about an 18–32% chance the gap between groups is just luck, and with only 5 down days one or two earnings events could flip the result. Net takeaway: a suggestive directional lean, not a confirmed edge; treat the crude condition as a hypothesis worth re-testing with more events rather than a tradeable signal.
The fine print
- Only 34 events, split 5 Brent-down vs 29 Brent-up; one or two earnings dates can flip the sign and the tests are underpowered.
- Brent is forward-filled to FANG trading days and daily crude data are not exactly contemporaneous with the opening print.
- Only positive surprises are included, so the crude tailwind can't be separated from a general energy-sector move.
- t0 is the first trading day on/after the report date; after-hours reports mean the measured gap already excludes part of the initial reaction.