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The fourth quarter earnings season starts on Monday with Alcoa's (NYSE:AA) report after the close. Prior to each earnings season, we highlight the stocks that have historically had the biggest and smallest one-day reactions to their earnings reports. To do this, we grab every earnings report for every company that has reported since 2002 and calculate its average absolute 1-day change on the first day of trading following the earnings release. For companies that report in the morning, we use its change on that day, and for companies that report after the close, we use its change on the following day. The absolute change turns negative moves positive, so if a company is up 20% on one earnings report and down 10% on another earnings report, its average absolute change for both reports would be 15%.

Each of the companies listed below has at least 5 earnings report under its belt. Along with the average absolute change, we also include its current price, expected report date, and the time of day of the report. As shown, GT Solar (SOLR) has historically been the most volatile stock on earnings in our database with an average absolute one-day change of 17.76%! SunPower (SPWRA) is not far behind at all with a one-day change of +/-17.47%. Other notables on the list of most volatile stocks on earnings include Intuitive Surgical (NASDAQ:ISRG), NetFlix (NASDAQ:NFLX), SanDisk (NASDAQ:SNDK), and (NASDAQ:AMZN). Remember, this does not mean the stocks typically go up a lot on their earnings reports -- it means they typically move a lot in either direction on their earnings reports.

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The stocks below have historically been the least volatile stocks on their earnings reports. Quite a few of the names are in the Utilities sector, whose stocks usually move very little based on quarter to quarter numbers. Other notables on the list include Atria Group (NYSE:MO), Johnson & Johnson (NYSE:JNJ), McDonald's (NYSE:MCD), and Procter & Gamble (NYSE:PG).

Source: Most and Least Volatile Stocks on Earnings