The idea behind the following picture is this:
Alice picks axis [itex]\vec{a}[/itex] and Bob picks axis [itex]\vec{b}[/itex]. You can always choose a coordinate system such that [itex]\vec{a}[/itex] is in the x-direction and [itex]\vec{b}[/itex] is at an angle [itex]\theta[/itex] away from [itex]\vec{a}[/itex] in the x-y plane.
The intrinsic spin vector, [itex]\vec{\lambda}[/itex], can be in any direction, but we can write it as [itex]\vec{\lambda} = \vec{\lambda_z} + \vec{\lambda_{xy}}[/itex], where [itex]\lambda_z[/itex] is the component of [itex]\lambda[/itex] in the z-direction, and [itex]\vec{\lambda_{xy}}[/itex] is the component in the x-y plane. For the purposes of determining whether Alice and Bob get spin-up or spin-down, only [itex]\lambda_{xy}[/itex] is relevant, so in the diagram, [itex]\lambda[/itex] just refers to this component in the x-y plane.
So if [itex]\lambda[/itex] is in the x-y plane, we assume that it has equal likelihood of pointing anywhere in the x-y plane.
So let [itex]A[/itex] be Alice's result and let [itex]B[/itex] be Bob's result. The first picture shows how Alice's result depends on [itex]\lambda[/itex]: If [itex]\lambda[/itex] lies anywhere in the yellow region, then Alice gets +1. Otherwise, she gets -1. The second picture shows how Bob's result depends on [itex]\lambda[/itex]: If [itex]\lambda[/itex] is in the red region, Bob gets +1, and otherwise, he gets -1.
The third picture shows the joint probabilities: Alice and Bob get the same result if [itex]\lambda[/itex] is in the orange and white regions, which occur with probability [itex]\theta/\pi[/itex]. Alice and Bob get opposite results if [itex]\lambda[/itex] is in the yellow or red regions, which occur with probability [itex](1 - \theta/\pi)[/itex]. So the product [itex]A B[/itex] is +1 with probability [itex]\theta/\pi[/itex] and [itex]-1[/itex] with probability [itex]1-\theta/\pi[/itex]. So the expectation value of [itex]A B[/itex] is [itex](+1)(\theta/\pi) + (-1) (1-\theta/\pi) = -1 + 2\theta/\pi[/itex]
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