The average amount that a stock moves in a given amount of time.
This is one of the most important pieces of historical information for our alerts server. This allows us to determine which moves are interesting, and which are noise. In some cases the user can configure the server to show more or fewer alerts; this configuration is usually done in terms of the volatility, rather than pennies or basis points.
Our server uses a slightly different definition of volatility than most people. Most people consider only price and time. We also look at volume. Our volatility is to the traditional type of volatility what a VWAP is to a simple moving average.