Some info from the Stant website;

"Many thermostats have a “jiggle pin” or “check valve” that allows trapped air in the cooling system to pass through the thermostat and be released from the system.
If a Stant thermostat does not have a jiggle pin, it will have a "bleed notch” or other method of removing air from the system."

http://www.stant.com/consumer-products/abcs-of-thermostats