my only qualm with pct vol is that you are forced to take on more shares.....so all things being equal - ie the same pct vol as now with higher share prices - so that with the same share size, i get more bang for my buck, in volatility terms..
30-day volatility is a rather misleading measure, at least as far as day-tradability is concerned, as it includes some high-range days grouped together near the beginning of the "lookback" period. Volatility and range have both been trending down rather sharply over the period: If you compare the short-term average range and short-term volatility to longer-term measures, the relationships are near extremes - i.e., very recent ranges and volatility are very low compared to somewhat longer-term averages on major indices. It's clear on the SPX:
but even more dramatic on the NDX, where we just put in, on Friday, the lowest range non-holiday session since '98 (in total points, not in percentage terms).