I'm looking to take a set of days, they can be at random and have no connection to each other. I would like to calculate the historical volatility for each day. I'm not sure the best way to do this since each disparate day can have it's price "begin" at the middle of a large swing from the day that was prior to it. Since that prior day's prices are not considered, I'm not sure if this is going to inflate the apparent volatility in the results. These are for 24 hour futures prices, so it makes it a bit harder. I'm also not convinced yet of what periodicity I should apply to the volatility. Hourly seems like it could be too little, yet minutely seems too fine grained. Maybe 15 minute? Any suggestions? Has anyone tackled this before?