We provide evidence that an option implied volatility-based measure predicts future absolute excess returns of the underlying stock around earnings announcements and annual meetings of shareholders, even after controlling for the realized stock return volatility shortly before these information events, and the volatility of excess stock returns around these two events in the past. Our results imply that option traders anticipate the change in uncertainty around these two scheduled events, and also trade on the expected volatility. In addition, we show that net straddle returns (after transaction costs) around earnings announcements and annual meetings of shareholders are significantly and negatively related to the predicted volatility of returns around the events. This suggests that the writers of call and put options expect to be compensated for the predicted volatility. Overall, we find that option traders anticipate and correctly incorporate the volatility induced by the information released in quarterly earnings announcements, and annual meetings of shareholders.