The S&P$500$ had an average arithmetic annual return of $12\mathrm{.}2\%$ and an average geometric return of $10\mathrm{.}3\%$ over the last $100$ years.

What was the average volatility of return assuming returns follow a normal distribution?

A$)$ Not enough information

B$)19\mathrm{.}5\%$

C$)19\mathrm{.}2\%$