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| MRCI's ScenarioSM Study |
| ScenarioSM Study for July 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 |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
| Tested Years |
2 |
11 |
14 |
15 |
18 |
21 |
21 |
21 |
21 |
21 |
21 |
| Closed Higher |
1 |
8 |
6 |
7 |
8 |
12 |
16 |
9 |
17 |
15 |
10 |
| Exceeded High |
1 |
7 |
5 |
4 |
6 |
11 |
13 |
9 |
15 |
12 |
7 |
| Scenario Percentage |
100% |
88% |
83% |
57% |
75% |
92% |
81% |
100% |
88% |
80% |
70% |
| Avg Max Increase |
4.39% |
4.72% |
6.95% |
7.87% |
15.28% |
9.51% |
13.58% |
17.86% |
10.69% |
9.49% |
6.29% |
| Max Increase |
4.39% |
10.73% |
9.65% |
12.12% |
21.01% |
21.50% |
32.57% |
30.89% |
26.93% |
37.86% |
12.35% |
| Avg Days To Max Increase |
20 |
13 |
17 |
22 |
16 |
18 |
18 |
17 |
16 |
12 |
19 |
| Avg Max Decline |
-2.15% |
-1.57% |
-1.39% |
-0.94% |
-0.02% |
-0.94% |
-3.28% |
-1.32% |
-3.44% |
-1.44% |
-3.21% |
| Max Decline |
-2.15% |
-3.52% |
-6.49% |
-2.21% |
-3.19% |
-6.70% |
-10.15% |
-5.17% |
-13.26% |
-6.83% |
-6.34% |
| Avg Days to Max Decline |
6 |
12 |
4 |
10 |
4 |
9 |
11 |
7 |
5 |
5 |
11 |
| 2005 Contract Condition |
|
|
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
|
|
| Action |
|
|
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 |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
| Tested Years |
2 |
11 |
14 |
15 |
18 |
21 |
21 |
21 |
21 |
21 |
21 |
| Closed Lower |
1 |
3 |
7 |
8 |
10 |
9 |
5 |
12 |
4 |
6 |
11 |
| Penetrated Low |
1 |
2 |
5 |
7 |
8 |
5 |
4 |
7 |
3 |
4 |
10 |
| Scenario Percentage |
100% |
67% |
71% |
88% |
80% |
56% |
80% |
58% |
75% |
67% |
91% |
| Avg Max Decline |
3.57% |
1.67% |
12.22% |
9.20% |
9.26% |
15.36% |
17.18% |
8.15% |
10.03% |
8.02% |
9.88% |
| Max Decline |
3.57% |
1.79% |
17.26% |
15.95% |
24.26% |
39.30% |
36.30% |
20.02% |
15.58% |
10.52% |
25.46% |
| Avg Days To Max Decline |
16 |
17 |
18 |
17 |
18 |
19 |
17 |
10 |
4 |
14 |
17 |
| Avg Max Increase |
-3.70% |
-4.77% |
-0.64% |
-2.03% |
-0.79% |
-3.12% |
-0.00% |
-3.10% |
-1.22% |
-3.79% |
-1.56% |
| Max Increase |
-3.70% |
-8.90% |
-2.07% |
-4.82% |
-5.67% |
-5.94% |
-1.10% |
-9.55% |
-4.65% |
-7.01% |
-5.48% |
| Avg Days to Max Increase |
27 |
13 |
5 |
5 |
12 |
12 |
8 |
14 |
1 |
12 |
4 |
| 2005 Contract Condition |
|
Yes |
|
|
Yes |
Yes |
|
|
|
Yes |
Yes |
| Action |
|
No |
|
|
Yes |
No |
|
|
|
Yes |
No |
| High |
120.84 |
129.69 |
134.00 |
145.84 |
138.65 |
130.10 |
142.00 |
146.90 |
168.20 |
175.50 |
154.60 |
| Low |
110.69 |
117.23 |
118.64 |
133.97 |
129.68 |
116.86 |
119.90 |
130.80 |
142.75 |
148.60 |
138.50 |
| Close/Last |
120.84 |
117.99 |
133.01 |
139.50 |
135.55 |
122.53 |
140.00 |
145.03 |
167.31 |
150.91 |
146.70 |
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