  We study the return interval $\tau$ between price volatilities that are above
a certain threshold $q$ for 31 intraday datasets, including the Standard &
Poor's 500 index and the 30 stocks that form the Dow Jones Industrial index.
For different threshold $q$, the probability density function $P_q(\tau)$
scales with the mean interval $\bar{\tau}$ as
$P_q(\tau)={\bar{\tau}}^{-1}f(\tau/\bar{\tau})$, similar to that found in daily
volatilities. Since the intraday records have significantly more data points
compared to the daily records, we could probe for much higher thresholds $q$
and still obtain good statistics. We find that the scaling function $f(x)$ is
consistent for all 31 intraday datasets in various time resolutions, and the
function is well approximated by the stretched exponential, $f(x)\sim e^{-a
x^\gamma}$, with $\gamma=0.38\pm 0.05$ and $a=3.9\pm 0.5$, which indicates the
existence of correlations. We analyze the conditional probability distribution
$P_q(\tau|\tau_0)$ for $\tau$ following a certain interval $\tau_0$, and find
$P_q(\tau|\tau_0)$ depends on $\tau_0$, which demonstrates memory in intraday
return intervals. Also, we find that the mean conditional interval
$<\tau|\tau_0>$ increases with $\tau_0$, consistent with the memory found for
$P_q(\tau|\tau_0)$. Moreover, we find that return interval records have long
term correlations with correlation exponents similar to that of volatility
records.
