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| MRCI's ScenarioSM Study |
| ScenarioSM Study for June Heating Oil(NYM) as of Feb 28, 2007 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
| Tested Years |
18 |
20 |
21 |
22 |
22 |
26 |
27 |
27 |
27 |
27 |
27 |
| Closed Higher |
8 |
14 |
14 |
12 |
9 |
11 |
14 |
12 |
11 |
19 |
21 |
| Exceeded High |
8 |
12 |
13 |
8 |
7 |
8 |
12 |
8 |
10 |
18 |
14 |
| Scenario Percentage |
100% |
86% |
93% |
67% |
78% |
73% |
86% |
67% |
91% |
95% |
67% |
| Avg Max Increase |
11.22% |
11.24% |
7.71% |
6.49% |
11.05% |
12.89% |
8.81% |
12.33% |
13.11% |
10.93% |
8.05% |
| Max Increase |
22.79% |
53.13% |
27.06% |
14.24% |
21.26% |
22.51% |
24.36% |
27.54% |
26.61% |
23.23% |
20.55% |
| Avg Days To Max Increase |
18 |
16 |
14 |
16 |
23 |
15 |
18 |
14 |
13 |
16 |
16 |
| Avg Max Decline |
-0.96% |
-0.60% |
-0.93% |
-1.21% |
-2.36% |
-1.81% |
-1.67% |
-2.57% |
-1.57% |
-2.22% |
-1.69% |
| Max Decline |
-2.89% |
-3.20% |
-5.65% |
-6.97% |
-5.28% |
-8.11% |
-4.46% |
-6.67% |
-8.10% |
-8.74% |
-4.86% |
| Avg Days to Max Decline |
11 |
10 |
9 |
3 |
9 |
6 |
12 |
7 |
6 |
3 |
4 |
| 2007 Contract Condition |
Yes |
Yes |
|
|
|
Yes |
|
|
Yes |
|
|
| Action |
Yes |
Yes |
|
|
|
No |
|
|
Not Yet |
|
|
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
| Tested Years |
18 |
20 |
21 |
22 |
22 |
26 |
27 |
27 |
27 |
27 |
27 |
| Closed Lower |
10 |
6 |
7 |
10 |
13 |
15 |
13 |
15 |
16 |
8 |
6 |
| Penetrated Low |
8 |
4 |
4 |
8 |
12 |
12 |
10 |
12 |
12 |
7 |
5 |
| Scenario Percentage |
80% |
67% |
57% |
80% |
92% |
80% |
77% |
80% |
75% |
88% |
83% |
| Avg Max Decline |
4.40% |
4.70% |
5.23% |
9.13% |
11.32% |
11.39% |
14.06% |
12.65% |
6.76% |
8.15% |
15.66% |
| Max Decline |
13.21% |
10.02% |
15.28% |
19.39% |
21.94% |
26.49% |
38.28% |
35.51% |
22.32% |
14.21% |
55.02% |
| Avg Days To Max Decline |
14 |
17 |
17 |
18 |
18 |
22 |
22 |
16 |
12 |
10 |
9 |
| Avg Max Increase |
-2.14% |
-4.06% |
-4.95% |
-1.77% |
-1.80% |
-2.30% |
-3.76% |
-2.10% |
-2.36% |
-3.25% |
-2.14% |
| Max Increase |
-6.80% |
-8.83% |
-12.29% |
-5.89% |
-5.43% |
-8.57% |
-9.29% |
-6.16% |
-10.34% |
-6.00% |
-5.13% |
| Avg Days to Max Increase |
6 |
17 |
29 |
9 |
5 |
12 |
12 |
6 |
10 |
10 |
3 |
| 2007 Contract Condition |
|
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
|
|
| Action |
|
|
Yes |
Yes |
Yes |
|
Yes |
Not Yet |
|
|
|
| High |
212.25 |
221.60 |
222.75 |
207.50 |
186.77 |
188.30 |
188.14 |
172.80 |
179.00 |
|
|
| Low |
200.59 |
211.20 |
203.90 |
179.50 |
174.25 |
174.00 |
173.50 |
152.10 |
162.10 |
|
|
| Close/Last |
210.11 |
215.71 |
208.81 |
186.67 |
177.40 |
187.30 |
174.12 |
168.28 |
178.06 |
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