Volatility Compression Stocks

Parkinson realized volatility estimates how much a stock actually moves using its daily high-low range, which makes it more sensitive than a close-to-close measure. This scan finds the US-listed stocks whose two-session average reading sits more than one standard deviation below the market average, names that have gone quiet relative to everything else, and holds them to more than $50M a day in dollar volume. Volatility is cyclical, so quiet periods tend to precede active ones. Compression says nothing about direction.