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The unofficial earnings season starts next week when Alcoa (NYSE:AA) reports first quarter results. We recently searched our Database to find stocks that have the most volatility on the first trading day following quarterly reports. Many traders like to use various strategies to trade this volatility. We calculated the average absolute 1-day percent change on earnings report days for all stocks that have at least 10 quarterly reports under their belts. If a stock goes up 20% on the day following one quarterly report and then goes down 10% after another quarterly report, the average absolute 1-day change would be 15%.

As shown below, MFLX, ISRG and BCSI have the highest price volatility on earnings days from our Database. MFLX has an average absolute change of 19.12% on report days. ISRG ranks second at 17.81%. Remember, this doesn't mean the stock always goes up a lot on report days, rather that it typically goes up or down a lot. Check back in the coming days for more earnings season info.

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Source: Most Volatile Stocks on Earnings