With earnings season now underway, below we highlight the stocks that typically have the biggest one-day price reactions following their earnings reports. We filtered the Russell 3,000 for stocks trading above $5/share that have had at least four quarterly earnings reports since the bear market began in October 2007. We then calculated the average absolute one-day percentage change on the first trading day following each company's earnings reports. (So a move of +20% on one day and a move of -10% on another day would result in an average absolute percentage change of 15%.)
In the table below, we provide the 30 most volatile stocks on earnings reports during the bear market. For each stock, we provide its current price, year to date change, average absolute one-day change on earnings reports, and the percentage of the time it has been up on its report days. The last category shows whether it has tended to be volatile on the upside or the downside. As shown, VDSI has been the most volatile name, with an average change of +/-28.88% on its report days. UAUA ranks second, followed by DFT, VPRT, DIVX, and CTRN. Other notables on the list include First Solar (NASDAQ:FSLR), Overstock.com (NASDAQ:OSTK), Priceline.com (NASDAQ:PCLN), and Buffalo Wild Wings (NASDAQ:BWLD).