Volatility is a knife that cuts both ways. If a market is volatile and moves against you, the results can be devastating. However, the opposite is true if the market is volatile and moves in your direction. Intraday traders are drawn to volatile markets because they need big moves in order to earn large profits.

This study reviews 10-minute price bars in the E-Mini S&P 500 (ES) (8:30 a.m. to 15:10 CT) from Jan. 3 to March 30, 2007. This daily trading range coincides with the hours at the New York Stock Exchange (NYSE), plus 10 minutes.

The total number of price bars over the 61 trading days was 2,440 — forty 10-minute bars per day. The smallest price-bar range was one tick (0.25) and the largest was 13.50 points on Feb. 27 at 2:50 p.m. This day, which has been dubbed the "Shanghai surprise," had a significant impact on the remainder of the quarter, which this study illustrates.