The Volatility indicator calculates a smoothed average of the True Range.
True Range measures the conventional range of a bar but checks the
previous bar's closing price to see if it is outside the current bar's range
to account for gaps between bars. The indicator may be used to measure
the volatility of a market using a price range concept. Often, extremes in
Volatility are associated with a change from trending to trading range and
vice versa.