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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. 2sides glta
On June 14th 2006 there was a spike in volatility to 21.46. That's not exactly a super spike.Juan is severely under calculating the effects of contango.