You have to be careful but it seems that this strategy works many times. This is for a day that the company announces its earnings AH or BH and it is supposed to go either up up or down downand swing like 10% or more. Reading the report is time consuming and by the time that you read it, the stock has already made its move. Say a stock closes at $40 and day range was 39.70 to $40.20. You put a short order at 39.30 or buy at 40.70. If it hits 39.70,probably it will go down more and if it hits 40.70, probably it will go up more. Of course you have to put a tight stop loss because sometimes the stock swings in both direction after earnings. Your delta from closing price should be big enough so that your orders are not triggered by noise.
I have tried a variation of this entering with limit orders, stops are easier because often it goes so fast you don't have the time to react. However you must know that with IB for ex, your stop may not be triggered if for ex. quotes are crossed , that's what I have been told at least when one of my order did not execute. So I would not trust your stops, this is a high risk strategy that in the end will cost you money I think. I remember seeing YHOO lose several points in a matter of a few seconds after initially breaking out. And much worse with GOOG a few quarters ago, 10 point swings in seconds.