Abstract: This paper uses option prices to learn about the uncertainty surrounding the fundamental information that is revealed on earnings announcement dates. To do this,we introduce a reduced-form model and estimators to separate the uncertainty over the information revealed on earnings dates from normal day-to-day volatility. The fundamental uncertainty estimators are easy to compute and rely only on option price information available prior to the announcement. Empirically, we find strong sup-port for our reduced form specification and investigate the fundamental uncertainty estimators. We find that they are quantitatively large, vary over time, and are informative about the future volatility of stock price movements. Finally, we quantify the impact of earnings announcements on formal option pricing models.