var let meet 4 00 vince j kaminski 06 01 2000 09 19 john arnold hou ect ect cc vince j kaminski hou ect ect tanya tamarchenko hou ect ect jim schwieger hou ect ect jeffrey shankman hou ect ect subject var john working last days var related issues focus jim schwieger storage book 5 25 5 26 counterintuitive results book good candidate systematic review var process seems problem arises forward forward vols used var system see attached spreadsheet var cumulative basis jumps jan 04 abnormal ff vol hits relatively large position ff vol also much different previous day number producing big jump var row jan 04 magenta font attached spreadsheet please look column abnormal ff vol may result one two factors bug code working person wrote code review b poorly conditioned forward vol curve kink discontinuity fwd vol curve one solution propose develop traders fwd fwd vol generator allowing review fwd vol curve posted produces weird fwd fwd vol smoothed meet 4 p review findings vince