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 the monthly volatility to an annual basis. The historical volatility of the monthly returns is given as 4.5%, so the annual volatility is $\sqrt{12} \times 0.045 = 0.156$ or 15.6%.

Option A and B are incorrect because implied volatility is derived from the market price of options 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 correct method. The correct approach is to use the square root of time to annualize the volatility, as demonstrated in the explanation for option C.