Minor nitpick: Nested subqueries ARE awkward, which is why I would express

    SELECT device id, sum(abs_delta) as volatility
    FROM (
        SELECT device_id, abs(val - lag(val) OVER (PARTITION BY device_id ORDER BY ts)) as abs_delta 
        FROM measurements
        WHERE ts >= now() - '1 day'::interval) calc_delta )
    GROUP BY device_id;

this way:

    WITH temperature_delta_past_day AS
    (
        SELECT device_id, abs(val - lag(val) OVER (PARTITION BY device_id ORDER BY ts)) as abs_delta 
        FROM measurements
        WHERE ts >= now() - '1 day'::interval  //edit - the remainder of this line is a typo: ) calc_delta
    )
    SELECT device id, sum(abs_delta) as volatility
    FROM temperature_delta_past_day
    GROUP BY device_id;

To me, it is a lot more natural to use SQL's CTE syntax to 'predefine' my projections before making use of them, instead of trying to define them inline - like the difference between when you'd define a lambda directly inline vs defining a separate function for it.

I don't know if trying to embed a DataFrame-esque api inside of SQL is a thing that would benefit me, but it is an interesting idea.