Volume vs Range

I've been reading some TraderFeed (this post for instance) recently and Dr. Steenbarger often mentions the relationship between Volatility and Volume. I did a simple study and present the data in the charts below. What I consider as Volatility is the Range for the day (the change between high and low). Volume is, just that, volume. In any case, the past few years has shown remarkable correlation.

(average volume has fluctuated over time and increased significantly from 1993)

Now, of course, it would be interesting to take the first 5,10, 15, 30mins, or hour of volume and see if that in any way correlates to the range expected for the rest of the day. I'm guessing it does. But I'll have to wait on that study until I have a bit more data.

Gap Trading

If you were to fade each gap on AAPL that was .5% or bigger (up or down) over the last month or so, this is what you could expect for max gains (i.e. max return: if a negative gap, then you would go long so the max gain would be daily high minus open; and vice versa for gap ups).

PS: Been working on analyzing data like this across a number of stocks and with more info like drawdown before target is reached, contributing factors (e.g. earnings, news releases), etc. 

TICK-NYSE vs SPY

Starting to collect data on NYSE's TICK index. Hoping TICK research will aid in position entry and exit.