 Solution

The difference of the two eigenvalues is $2i\sin U$, hence $\Delta ={\sin }^{2}U$. Its expectation isFor $0\le x\le 1$, put $\alpha =\arcsin \sqrt{x}\in [0,\pi /2]$. The set of angles satisfying $|\sin u|\le \sqrt{x}$ consists of $[0,\alpha ]$, $[\pi -\alpha ,\pi +\alpha ]$ and $[2\pi -\alpha ,2\pi ]$, of total length $4\alpha$. Thus the full cumulative distribution function isDifferentiating on $(0,1)$ gives the probability density functionThis is the arcsine distribution, equivalently the beta distribution with both parameters $1/2$. It has no atoms at either endpoint.