The Average True Range (ATR) indicator was introduced by Welles Wilder as a tool to measure the market volatility and volatility alone leaving aside attempts to indicate the direction. Unlike the True Range, the ATR also includes volatility of gaps and limit moves. The indicator is good at valuating the market's interest in the price moves for strong moves and break-outs are normally accompanied by large ranges.
http://www.ifcmarkets.com/en/ntx-indicators/average-true-range
