Discussion:
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.
For example, if the VIX is at 21, this represents an expected annualized change of 21% over the next 30 days; thus one can infer that the index option markets expect the S&P 500 to move up or down over the next 30-day period.
That is, index options are priced with the assumption of a 68% likelihood (one standard deviation) that the magnitude of the S&P 500's 30-day return will be less than 6.06% (up or down).
21% / sq. root of 12 = 6.06%
3.4646102
Q: How do I calculate the same for 2 or 3 standard deviations?