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Earnings season starts on Monday with Alcoa's second quarter report. Traders love the action during earnings season because stocks typically have their biggest moves on their report days. Using our Interactive Earnings Report Database we found the stocks that have historically had the biggest moves on their earnings report days. (For stocks that report after the close, we use the next day's change.) To make the list, the stock has to have had at least 20 quarterly earnings reports in the database. The volatility number we provide for each stock is the 1-day average absolute percentage change on all earnings report days. For example, if a stock moves 10% on one report day and -20% on another report day, its 1-day average absolute change would be 15%.

As shown, Travelzoo (TZOO) has been the most volatile stock on its earnings report days with an average 1-day change of +/-14.97%. This means that every quarter the stock basically gives up or gains 15% of its entire value! Priceline.com (PCLN) ranks second with a 1-day change of +/-14.56%, followed by Finisar (FNSR), Vasco Data (VDSI), Intuitive Surgical (ISRG), and Multi-Fineline (MFLX). Other notable stocks on the list include Nutrisystem (NTRI), Netflix (NFLX), Crocs (CROX), Vistaprint (VPRT), and Research in Motion (RIMM).

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Source: Most Volatile Stocks on Earnings Reports