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Prior to the start of each earnings season, we use our Interactive Earnings Report Database (available to Bespoke Institutional members) to highlight a list of the stocks that move the most on their earnings reaction days. (For stocks that report before the open, that trading day is its earnings reaction day. For stocks that report after the close, the next trading day is its earnings reaction day.)
To be included on the list, the stock has to trade over $5/share and have at least 10 quarterly earnings reports as a public company. For each stock in our earnings database, we’ve calculated its average absolute one-day change in reaction to its quarterly earnings reports over the last ten years. For example, if a stock moves up 10% on one earnings reaction day, and it moves down 20% on its next earnings reaction day, its average absolute one-day change on these two earnings reaction days is +/-15%.
Each stock listed below has historically averaged a move of +/-12.50% on its earnings reaction days over the last ten years. That’s a huge move to experience once per quarter! As shown, the most volatile stock on the list this quarter is Vince Holding (VNCE), which has historically moved +/-18.76% on earnings. ECOM, SALE, ANGI and TCS round out the top five with moves of more than +/-15.9%. Other notables on the list include Yelp (YELP), Silicon Graphics (SGI), Tableau Software (DATA), Pandora (P), Netflix (NFLX), Twitter (TWTR), and LinkedIn (LNKD). Netflix (NFLX) is the most volatile S&P 500 stock on earnings with an average change of +/-13.84%. Keep that in mind when NFLX reports on April 18th!