On the wiki page, it says the following about the VIX index: ------------------------- The VIX is quoted in terms of percentage points and translates, roughly, to the expected movement in the S&P 500 index over the next 30-day period, on an annualized basis. ------------------------- Here is my confusion: should any volatility inherently an instantaneous concept? So here the VIX number is actually the monthly volatility, but annualized. Does anybody know if I have a daily volatility, also annualized, how do I convert my daily annualized volatility into the monthly annualized volatility? Thanks!
The VIX is a measure of implied volatility, which is an instantaneous concept. The "expected volatility" in the future is a hand-waving definition of the current implied volatility.
Volatility is scaled with the square root of time. So if you have daily volatility you multiply it by the square root of 250 to get annualized, and to get monthly from annualized you multiply the annual volatility by the square root of (1/12).