Prior research has shown that informed trading activity decreases the stock return volatility because trading causes stock prices to converge to fundamentals. On the contrary to existing studies, this paper documents the empirical asymmetric relation between informed trading activity and volatility. Stocks with relatively less private information are associated with lower participation of informed traders, and an increase in informed trading activity for those stocks would increase their return volatility. This finding is robust under both pooled and Fama-MacBeth regressions with various constructions for the realized volatility and probability of informed trading measurements.