Some scenarios they discuss here:

Spot Up:
A quick 11% increase in the spot makes the trade a 90% UpVar, likely exceeding the original ATM UpVar vol, resulting in positive mark-to-market PnL. In this case the roll-down effect from 3Yr to 2Yr is minimal and you should restrike at about the 6 month mark. A slow rally may negatively impact realized PnL, but the mark-to-market from the unrealized section should remain positive due to low entry levels. This scenario is also favorable in the long run as it opens a wider spot range to capture future corrections back toward the barrier.

Spot Down:
If market drops 10%, the ATM UpVar resembles a 110% UpVar. Variance accrues only above the spot barrier, so the position acts like low delta call options with minimal PnL impact and can be “written-off." Lol.  However if implied vol spikes in distress (e.g. 2020), the mark-to-market can be positive as “expected time in the range” increases. One can enter a new ATM UpVar to capture a wider range than initial trade. Even bigger lol. 

Regardless of the scenarios, the worst possible Pnl mathematically, if the index remains above the barrier everyday and realized zero volatility, is half of the VolStrike, which is 6.65 Vol points at current levels (Indication of 13.3% strike for 3Y ATM UpVar).