abstract: We present a general framework for a comparative theory of variability measures, with a particular focus on the recently introduced inter-expectile and inter-Expected Shortfall differences, that are compared with the most common inter-quantile differences. From the mathematical point of view, our main result is a characterization of symmetric and comonotonic variability measures as mixtures of inter-Expected Shortfall differences. We study stochastic orders induced by inter-Expected Shortfall and inter-expectile differences, and discuss their relationship with the convex order. From an empirical point of view, we analyze the comparability of realized financial log returns with respect to the introduced stochastic orders. The talk is based on joint work with T. Fadina, R. Wang and Y. Wei.