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| MRCI's ScenarioSM Study |
| ScenarioSM Study for June Unleaded Gas(NYM) as of Jul 31, 2006 |
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 |
4 |
13 |
15 |
18 |
20 |
21 |
21 |
21 |
21 |
21 |
21 |
| Closed Higher |
1 |
7 |
10 |
8 |
11 |
10 |
12 |
16 |
9 |
17 |
14 |
| Exceeded High |
1 |
7 |
9 |
6 |
7 |
7 |
12 |
13 |
9 |
16 |
9 |
| Scenario Percentage |
100% |
100% |
90% |
75% |
64% |
70% |
100% |
81% |
100% |
94% |
64% |
| Avg Max Increase |
4.65% |
14.46% |
8.45% |
6.14% |
11.20% |
16.14% |
10.03% |
14.39% |
19.46% |
12.58% |
7.94% |
| Max Increase |
4.65% |
52.68% |
28.27% |
9.78% |
17.58% |
23.63% |
23.34% |
32.68% |
36.66% |
31.66% |
18.99% |
| Avg Days To Max Increase |
20 |
20 |
15 |
17 |
23 |
17 |
17 |
18 |
18 |
16 |
14 |
| Avg Max Decline |
-0.53% |
-0.58% |
-0.89% |
-1.82% |
-1.41% |
-0.88% |
-1.25% |
-3.76% |
-1.29% |
-3.88% |
-1.67% |
| Max Decline |
-0.53% |
-3.26% |
-3.53% |
-7.12% |
-5.04% |
-2.84% |
-6.87% |
-10.51% |
-5.03% |
-14.14% |
-9.92% |
| Avg Days to Max Decline |
2 |
9 |
11 |
4 |
15 |
3 |
9 |
11 |
8 |
5 |
4 |
| 2005 Contract Condition |
|
Yes |
|
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
|
| Action |
|
Yes |
|
Yes |
No |
|
|
Yes |
Yes |
Yes |
|
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 |
4 |
13 |
15 |
18 |
20 |
21 |
21 |
21 |
21 |
21 |
21 |
| Closed Lower |
3 |
6 |
5 |
10 |
9 |
11 |
9 |
5 |
12 |
4 |
7 |
| Penetrated Low |
1 |
4 |
3 |
6 |
8 |
9 |
5 |
4 |
8 |
3 |
2 |
| Scenario Percentage |
33% |
67% |
60% |
60% |
89% |
82% |
56% |
80% |
67% |
75% |
29% |
| Avg Max Decline |
4.81% |
7.34% |
2.66% |
11.39% |
10.91% |
10.49% |
15.80% |
17.75% |
8.15% |
11.59% |
6.00% |
| Max Decline |
4.81% |
9.62% |
4.78% |
18.12% |
19.01% |
24.38% |
39.48% |
35.67% |
18.62% |
18.26% |
7.96% |
| Avg Days To Max Decline |
16 |
21 |
13 |
20 |
17 |
18 |
21 |
19 |
10 |
4 |
9 |
| Avg Max Increase |
0.32% |
-3.85% |
-3.97% |
-0.86% |
-2.06% |
-1.02% |
-3.68% |
-0.16% |
-2.89% |
-1.55% |
-1.73% |
| Max Increase |
0.32% |
-10.55% |
-9.12% |
-2.94% |
-4.79% |
-6.30% |
-6.95% |
-1.47% |
-9.52% |
-4.71% |
-2.60% |
| Avg Days to Max Increase |
8 |
20 |
12 |
6 |
3 |
15 |
11 |
7 |
12 |
1 |
5 |
| 2005 Contract Condition |
|
|
Yes |
|
|
Yes |
Yes |
|
|
|
Yes |
| Action |
|
|
No |
|
|
Yes |
No |
|
|
|
Yes |
| High |
114.74 |
123.19 |
131.89 |
136.20 |
148.44 |
140.65 |
132.00 |
143.90 |
147.50 |
168.60 |
176.30 |
| Low |
105.77 |
113.08 |
119.18 |
120.54 |
136.22 |
130.00 |
117.96 |
120.00 |
131.30 |
142.50 |
146.50 |
| Close/Last |
109.66 |
123.19 |
119.84 |
135.21 |
141.50 |
137.25 |
123.53 |
141.60 |
145.58 |
167.51 |
149.61 |
|
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