We're currently running a number of earnings season reports over at Bespoke Premium, and below we have filtered our interactive earnings database to find the stocks that have historically been the most volatile on their report days. The stocks below have the highest average absolute one-day percentage changes on the first trading day in reaction to their quarterly earnings reports. To make the list, the stocks have to have reported earnings at least 12 times. Average absolute change makes negative and positive moves all positive, so a change of +10% and -20% equates to an average absolute change of 15%.
As shown below, MFLX, which is expected to report on August 6th, has an average absolute one-day change of 17.06% on its earnings report days. This is the most volatile stock in our database of ones expected to report over the next month or so. VDSI ranks second at 16.31%, followed by Travelzoo (NASDAQ:TZOO), Intuitive Surgical (NASDAQ:ISRG), and Priceline.com (NASDAQ:PCLN). Other notable stocks that are volatile on their earnings report days include Netflix (NASDAQ:NFLX) and Sandisk (SNDK).
click to enlarge