Consider the year 2006 for the SPY:
Volatility was at an all time low, contango in full effect:
Yet we look at Juan's chart and we see a major spike in volatility around May of 2006.
Something doesn't add up.
I've already said this three or four times now. This Juan guy has come on Yahoo trying to claim all these calculations are his, when in fact they aren't. He may have in fact calculated some of it himself, I don't know, but the fact is he's very late to the party. Other people have been blogging about these exact things for a few years now. Other people are also way more thorough on them and way less arrogant and condescending about it.
I don't know what his deal is, but it seems to matter a lot to him. He opens a new blog, posts a couple articles, posts a wildly underperforming portfolio, and now is a VXX guru or something. Ok, to each his own...
10th grade math?
Chimps Top Humans in Number Recall
They beat out college students in tests involving digits 1 through 9, scientists say
taken from newsweek article...
MONDAY, Dec. 3 (HealthDay News) -- It may be a case of monkey see, monkey do better - a new study finds young chimpanzees beating human adults at remembering numbers.
A team of Japanese researchers compared three pairs of mother-and-child pairs of chimpanzees who had learned how to identify the numbers 1 through 9 against university students who did a memory test involving numbers.
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The chimps and humans were briefly shown various numbers from 1 to 9 on a touch screen monitor. The numbers were then replaced with blank squares. The chimps and humans had to remember which number appeared in which location and touch the squares in the appropriate sequence.
The young chimps performed better on the test than either their mothers or the humans, according to the study, which is published in the Dec. 4 issue of Current Biology.
"There are still many people, including many biologists, who believe that humans are superior to chimpanzees in all cognitive functions," researcher Tetsuro Matsuzawa of Kyoto University, said in a prepared statement.
"No one can imagine that chimpanzees -- young chimpanzees at the age of 5 -- have a better performance in a memory task than humans," he said. "Here we show for the first time that young chimpanzees have an extraordinary working memory capability for numerical recollection -- better than that of human adults tested in the same apparatus, following the same procedure."
The young chimps' skill in remembering numbers is reminiscent of "photographic memory," the ability to retain a detailed and accurate image of a complex scene or pattern, Matsuzawa said. This is known to be present in some human children, but then declines as they age.
The researchers concluded that the young chimps' ability to perform better than humans on this memory task is "just part of the very flexible intelligence of young chimpanzees."
The African Wildlife Foundation has more about chimpanzees.
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Visually comparing Juan's calcs to the calcs in the I-Path Prospectus they are pretty close to same.
Juan is a bit arrogant about his intelligence. I would suggest to him that if he has to resort to physical calculations, he may not be smart enough to "invest" in volatility.