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Investors better buckle up as this earnings season could send them for a wild ride, according to data compiled by Goldman Sachs.

The average implied move of an stock on earnings day has reached 7.4 percent, meaning the shares could move up or down by that much the day the company reports quarterly results. That average implied move is the highest since the financial crisis, the data show. These implied moves are calculated by looking at the price of companies' options heading into their earnings reports.

"While higher implied moves make it more costly to buy options to position for earnings events, it also indicates a high degree of nervousness that tends to precede bullish moves in stocks on earnings events," John Marshall, a derivatives strategist at Goldman Sachs, wrote in a note Sunday.

The earnings season kicked off Monday with Citigroup reporting better-than-expected profit. However, the bank also said its fixed income trading revenue fell . Citigroup shares opened lower Monday before turning around.

Investors came into the season jittery as they grapple with the possibility of an economic slowdown, an ongoing trade war between the U.S. and China, and the longest government shutdown in American history.

Those jitters led to the Dow Jones Industrial Average and S&P 500's worst December performance since 1931. The two indexes fell more than 8.6 percent last month. The S&P 500 also dipped into bear market territory in December, briefly trading down more than 20 percent from its 52-week high.

This pullback led to a downward revision of earnings estimates as well as corporations issuing scary warnings. Apple lowered its revenue forecast for the fiscal first quarter earlier this month, citing a slowdown in China. American Airlines also cut its full-year 2018 profit guidance last week.

But Marshall notes that individual stocks usually do well during earnings seasons, even when the broad market is under pressure. For example, the average move on a stock between January 2008 and March 2009 was up 0.2 percent, while the average total return for the S&P 500 was down 10 percent.

"During times of market stress, the majority of earnings events spark relief rallies," Marshall said. "These statistics are surprising to many stock pickers; we believe losing trades may be more prominent in memories given the tendency to remember the 'big losers' rather than the 'big winners.'"

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