In this paper we examine intraday volatility of the Bund future, which is traded at the London International Financial Futures Exchange (LIFFE) and the Deutsche Terminborse (DTB). Our objective is two-fold. First, we investigate spillovers in volatility between the exchanges. Such spillovers are found to occur only within one minute and they do not reveal any systematic lead of one exchange on the other. Second, we study patterns in intraday volatility. Our results indicate that volatility decreases from the opening hour until early afternoon and rises thereafter. The same pattern is detected in explanatory variables like traded volume and time-between-trades. Bid-ask spreads, however, seem to be constant throughout the day.