A. This is a common myth, because each ETF always include many stocks in it, people tend to think ETF's are more diversified and less volatile than stocks.
Wrong. It depends on what kind of ETFs you are looking at. Some sector ETFs are very volatile, for example, Market Vectors Brazil Small Cap ETF (BRF), Market Vectors Gold Miners (GDX), or iShares Nasdaq Biotechnology ETF (IBB). While some stocks are quite stable, for example, Johnson & Johnson (JNJ).
If you want to compare volatility, make sure it's an apples to apples comparison.