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Our analysis with daily data from five exchanges shows that financial volatilities follow Levin's universal distribution \\textit{W. Kirchherr} et al. [Math. Intell. 19, No. 4, 7--15 (1997; Zbl 0934.01007)] once transformed into equally proportional binary strings. Frequency ranking of binary trading weeks coincides with that of their Kolmogorov complexity estimated by the second author and \\textit{H. Zenil} [Appl. Math. Comput. 219, No. 1, 63--77 (2012; Zbl 1448.68250)]. According to Levin's universal distribution, large (resp. small) volatilities are more likely to be followed by large (resp. small) ones since simple trading weeks such as ``00000'' or ``11111'' are much more frequently observed than complex ones such as ``10100'' or ``01011''. Thus, volatility clusters may not be attributed to behavioral or micro-structural assumptions but to the complexity discrepancy between finite strings. 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