From our large earnings database that we use for numerous research pieces for our Mini Institutional service, we found the stocks in the S&P 500 that are the most volatile on their earnings report days. By taking the absolute percent change on the first trading day after each earnings report for each stock, we can find which ones move the most. Going back to the start of the bull market (10/02), SanDisk Corporation (SNDK) is the stock in the S&P 500 that has been the most volatile on earnings. Its average absolute percent change on those days is a whopping 14.51%.
Below we list the 20 most volatile stocks along with their next earnings report date. So if you're in the mood to gamble (and that is what playing earnings reports really is), go ahead -- pick a side, bet big, and pray.