The correct answer is C, which states that the volatility of the annual returns is 15.6%. This is calculated by taking the square root of time to scale up the monthly volatility to an annual basis. The formula used is $V_{\text{annual}} = \sqrt{12} \times V_{\text{monthly}}$, where $V_{\text{monthly}}$ is the historical volatility of the monthly returns. In this case, $V_{\text{annual}} = \sqrt{12} \times 0.045 = 0.156$ or 15.6%.

Option A and B are incorrect because implied volatility is derived from the market price of an option and is not directly related to historical volatilities. Implied volatility reflects the market's expectation of future volatility, which is embedded in the option's price.

Option D is incorrect because it scales the volatility linearly with time, which is not the appropriate method. The correct approach is to use the square root of time to annualize the volatility, as volatility is not linearly scalable with time due to the compounding effect on returns.