A statistics professor has been involved in a collaborative research project with two entomologists. The statistics part of the project involves fitting regression models to large data sets. Together they have written and submitted a manuscript to an entomology journal. The manuscript contains a number of scatter plots with each showing an estimated regression line (based on a valid model) andassociated individual 95% confidence intervals for the regression function at each x value, as well as the observed data.

A referee has asked the following question: I don't understand how 95% of the observations fall outside the 95% CI as depicted in the figures.

Briefly explain how it is entirely possible that 95% of the observations fall outside the 95% CI as depicted in the figures.