True Range (TR) is the difference between the highest of the bar's high and the previous bar's close subtracted from the lowest of the bars's low and the previous bar's close.  The True Range is used in preference to the bar's range (high-low) because the TR takes into account gaps in price.  The diagrams below make the definition of TR clearer.

Average True Range (ATR) is the simple moving average of the True Range.

Standard Deviation of the True Range is a measure of how the True Range varies with time.  Standard deviation is a standard statistical measure of the variability of a variable.  It is useful to include this measure in the calculation of the stop, because although the ATR changes with time and therefore adjusts to the security's volatility, it is not as sensitive a measure of the variance of volatility as is the standard deviation.