Paramount Global (PARA) shares plummeted 11.32% on Thursday, as investors grappled with speculation about the company's potential removal from the S&P 500 index and braced for upcoming second-quarter results.

The sharp decline comes in the wake of Paramount's pending sale to Skydance Media, set to close on August 7th. This upcoming merger has sparked discussions among market analysts about possible changes to the S&P 500 index composition. Melissa Roberts, an analyst at Stephens, suggests that the deal's closure could provide an opportunity for the S&P 500 index committee to make adjustments. Given Paramount's current market capitalization of $9.5 billion, which is well below the $22.7 billion threshold for new S&P 500 entrants, there's a possibility that the newly formed entity (to be traded as "PSKY") could be moved to the S&P MidCap 400 index.

Adding to the downward pressure, investors are also positioning themselves ahead of Paramount's second-quarter earnings report. The anticipation of these results, coupled with the index removal speculation, has created a perfect storm for the stock's significant decline. As the situation develops, market participants will be closely watching for any official communications from S&P Dow Jones Indices regarding potential index changes, as well as scrutinizing Paramount's upcoming financial performance for signs of the company's health amidst these structural changes.