Best way of measuring Volatility?

What is your preferred way of measuring volatility and why?

Currently I know, ATR, Bollingerband Width and Crude Oil Vix.

 

Mk1 Eyeball, wouldn't trade off any of the above.

Time and Experience!

 

GARCH(1,1), of which there are literally hundreds of variations. Which one to choose depends on how you like to model market behavior. GARCH is used for forecasting volatility, and the others you mentioned are point in time measurements of historical volatility (except VIX.)

 

OHLC - shows trend, direction and magnitude. You can find it on most charts.