RV 10% batch (15 points underperformance)

Runs: 500

Stats

RV mean: 9.94%

RV st dev: .44%

mean RV-IV: -15.06 vol points

P/L mean: -15.16 vol points

P/L st dev: 3 vol points

While the expected p/l maps strongly to how many vol points of underperformance there is (in this case 15 points), the standard deviation is now 3 points.