The Z-Statistic (also known as Z-Score) is a popular metric to measure how many standard deviations a discount/premium to NAV is from the mean. Z-Statistic is a common calculation in statistics. However, investors use this metric for particular security types (Mainly closed end funds and other securities that trade at a large discount or premium).
Viewing a distribution of Z-Statistics or comparing Z-Statistics for different securities help gauge how far away a discount or premium is from the norm for that particular security.
(Discount/Premium to NAV – Average Discount/Premium to NAV (Over Lookback Period) / Standard Deviation of Discount/Premium to NAV (Over Lookback Period)