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From our Interactive Earnings Report Database (mentioned in our prior post), below we highlight the stocks that have historically been the most volatile on the day of their earnings reports. The stocks below are all greater than $4 per share and have at least four years worth of quarterly reports in our database. As shown, Travelzoo (NASDAQ:TZOO) is the most volatile stock in the US with an average absolute one-day change of +/-15.31% on its report days. VDSI ranks second, followed by INFN, BCSI, FNSR and STEC. Other notables on the list include Netflix (NASDAQ:NFLX), Intuitive Surgical (NASDAQ:ISRG), priceline.com (NASDAQ:PCLN), Nutrisystem (NASDAQ:NTRI), Research in Motion (RIMM), and iRobot (NASDAQ:IRBT). If you're looking for action this earnings season, the list below is a good place to start.

Source: Most Volatile Stocks On Earnings Report Day