| Variance | 2× | 3× | −1× | −2× | −3× | 2× | 3× | −1× | −2× | −3× | 2× | 3× | −1× | −2× | −3× |
| Panel A: 5 trading days | Panel B: 22 trading days | Panel C: 250 trading days | |||||||||||||
| 0.5 | 1.61 | 1.62 | −1.59 | −1.61 | −1.62 | 3.43 | 3.49 | −3.37 | −3.43 | −3.49 | 7.60 | 7.89 | −7.33 | −7.62 | −7.93 |
| 1.0 | 2.29 | 2.31 | −2.26 | −2.29 | −2.31 | 4.92 | 5.04 | −4.80 | −4.92 | −5.05 | 11.08 | 11.71 | −10.54 | −11.14 | −11.81 |
| 1.5 | 2.82 | 2.86 | −2.78 | −2.82 | −2.86 | 6.09 | 6.28 | −5.92 | −6.10 | −6.29 | 13.90 | 14.90 | −13.07 | −14.02 | −15.10 |
| 2.0 | 3.26 | 3.32 | −3.21 | −3.27 | −3.32 | 7.10 | 7.35 | −6.86 | −7.11 | −7.38 | 16.38 | 17.78 | −15.26 | −16.57 | −18.11 |
| 2.5 | 3.66 | 3.73 | −3.60 | −3.67 | −3.74 | 8.00 | 8.33 | −7.71 | −8.02 | −8.36 | 18.64 | 20.47 | −17.23 | −18.92 | −20.96 |
| 3.0 | 4.03 | 4.11 | −3.95 | −4.03 | −4.11 | 8.83 | 9.23 | −8.48 | −8.86 | −9.28 | 20.76 | 23.04 | −19.04 | −21.13 | −23.72 |
| 3.5 | 4.36 | 4.46 | −4.27 | −4.37 | −4.47 | 9.60 | 10.07 | −9.19 | −9.64 | −10.14 | 22.77 | 25.53 | −20.74 | −23.25 | −26.42 |
| 4.0 | 4.68 | 4.79 | −4.58 | −4.68 | −4.80 | 10.33 | 10.87 | −9.85 | −10.38 | −10.96 | 24.69 | 27.95 | −22.35 | −25.30 | −29.10 |
| 4.5 | 4.98 | 5.10 | −4.86 | −4.98 | −5.11 | 11.02 | 11.64 | −10.48 | −11.08 | −11.74 | 26.55 | 30.34 | −23.88 | −27.29 | −31.76 |
| 5.0 | 5.26 | 5.40 | −5.13 | −5.27 | −5.41 | 11.68 | 12.38 | −11.08 | −11.75 | −12.50 | 28.34 | 32.69 | −25.35 | −29.24 | −34.43 |
| 5.5 | 5.53 | 5.69 | −5.39 | −5.54 | −5.70 | 12.32 | 13.10 | −11.66 | −12.40 | −13.24 | 30.10 | 35.02 | −26.77 | −31.15 | −37.11 |
| 6.0 | 5.79 | 5.96 | −5.63 | −5.80 | −5.97 | 12.93 | 13.80 | −12.21 | −13.03 | −13.96 | 31.81 | 37.33 | −28.15 | −33.04 | −39.81 |
| 6.5 | 6.04 | 6.23 | −5.87 | −6.05 | −6.24 | 13.53 | 14.48 | −12.74 | −13.64 | −14.66 | 33.49 | 39.64 | −29.49 | −34.91 | −42.54 |
| 7.0 | 6.28 | 6.48 | −6.10 | −6.29 | −6.50 | 14.11 | 15.14 | −13.26 | −14.23 | −15.35 | 35.14 | 41.94 | −30.80 | −36.77 | −45.30 |
| 7.5 | 6.52 | 6.73 | −6.32 | −6.53 | −6.75 | 14.67 | 15.79 | −13.76 | −14.81 | −16.03 | 36.76 | 44.24 | −32.07 | −38.61 | −48.11 |
| 8.0 | 6.74 | 6.98 | −6.53 | −6.76 | −7.00 | 15.22 | 16.43 | −14.24 | −15.37 | −16.69 | 38.37 | 46.55 | −33.32 | −40.44 | −50.95 |
| 8.5 | 6.97 | 7.21 | −6.74 | −6.98 | −7.24 | 15.76 | 17.05 | −14.72 | −15.93 | −17.35 | 39.95 | 48.86 | −34.55 | −42.27 | −53.85 |
| 9.0 | 7.18 | 7.44 | −6.95 | −7.20 | −7.47 | 16.28 | 17.67 | −15.18 | −16.47 | −17.99 | 41.52 | 51.18 | −35.76 | −44.10 | −56.81 |
| 9.5 | 7.39 | 7.67 | −7.14 | −7.41 | −7.70 | 16.80 | 18.27 | −15.63 | −17.00 | −18.63 | 43.07 | 53.52 | −36.94 | −45.92 | −59.82 |
| 10.0 | 7.60 | 7.89 | −7.33 | −7.62 | −7.93 | 17.30 | 18.87 | −16.07 | −17.53 | −19.26 | 44.61 | 55.86 | −38.11 | −47.75 | −62.89 |