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| MRCI's ScenarioSM Study |
| ScenarioSM Study for August 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 |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
5 |
15 |
16 |
16 |
19 |
19 |
21 |
21 |
21 |
21 |
21 |
| Closed Higher |
4 |
7 |
7 |
5 |
11 |
13 |
11 |
17 |
14 |
12 |
9 |
| Exceeded High |
3 |
5 |
4 |
4 |
10 |
11 |
11 |
16 |
11 |
10 |
8 |
| Scenario Percentage |
75% |
71% |
57% |
80% |
91% |
85% |
100% |
94% |
79% |
83% |
89% |
| Avg Max Increase |
11.78% |
6.61% |
7.04% |
12.11% |
9.39% |
15.24% |
13.93% |
9.49% |
9.87% |
9.96% |
9.60% |
| Max Increase |
27.22% |
9.79% |
11.02% |
17.38% |
20.34% |
33.07% |
26.78% |
24.96% |
35.06% |
16.94% |
18.79% |
| Avg Days To Max Increase |
19 |
16 |
23 |
13 |
18 |
18 |
15 |
15 |
16 |
17 |
17 |
| Avg Max Decline |
0.64% |
-1.38% |
-0.56% |
-0.11% |
-0.17% |
-2.47% |
-1.43% |
-2.40% |
-2.32% |
-5.21% |
-1.76% |
| Max Decline |
-2.71% |
-6.20% |
-2.26% |
-1.00% |
-3.24% |
-8.53% |
-4.94% |
-7.23% |
-12.59% |
-11.35% |
-4.50% |
| Avg Days to Max Decline |
6 |
4 |
11 |
4 |
7 |
10 |
6 |
6 |
8 |
13 |
5 |
| 2005 Contract Condition |
|
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
|
|
Yes |
| Action |
|
Yes |
No |
|
|
Yes |
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 |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
5 |
15 |
16 |
16 |
19 |
19 |
21 |
21 |
21 |
21 |
21 |
| Closed Lower |
1 |
7 |
9 |
11 |
8 |
6 |
10 |
4 |
7 |
9 |
12 |
| Penetrated Low |
1 |
5 |
8 |
8 |
5 |
4 |
5 |
4 |
5 |
8 |
8 |
| Scenario Percentage |
100% |
71% |
89% |
73% |
63% |
67% |
50% |
100% |
71% |
89% |
67% |
| Avg Max Decline |
4.84% |
11.67% |
9.63% |
10.33% |
15.09% |
16.54% |
8.17% |
7.76% |
7.87% |
12.08% |
11.50% |
| Max Decline |
4.84% |
16.52% |
19.18% |
24.00% |
38.53% |
36.69% |
20.43% |
12.79% |
11.10% |
22.71% |
21.86% |
| Avg Days To Max Decline |
5 |
19 |
16 |
19 |
17 |
17 |
11 |
10 |
16 |
18 |
20 |
| Avg Max Increase |
-2.09% |
-0.61% |
-2.11% |
-0.06% |
-2.63% |
0.02% |
-3.19% |
-0.92% |
-3.43% |
-1.88% |
-3.17% |
| Max Increase |
-2.09% |
-1.81% |
-4.96% |
-6.12% |
-5.81% |
-1.13% |
-8.84% |
-5.11% |
-7.24% |
-5.48% |
-12.70% |
| Avg Days to Max Increase |
5 |
5 |
3 |
7 |
12 |
8 |
12 |
6 |
12 |
6 |
8 |
| 2005 Contract Condition |
|
|
|
Yes |
Yes |
|
|
|
Yes |
Yes |
|
| Action |
|
|
|
Yes |
No |
|
|
|
Yes |
No |
|
| High |
126.94 |
131.05 |
142.74 |
136.10 |
127.70 |
138.50 |
143.60 |
166.75 |
174.40 |
154.70 |
169.40 |
| Low |
114.63 |
116.04 |
130.92 |
126.75 |
114.91 |
118.18 |
125.90 |
142.00 |
150.20 |
139.30 |
147.45 |
| Close/Last |
115.39 |
130.01 |
137.05 |
133.05 |
120.68 |
137.45 |
143.33 |
166.00 |
151.11 |
146.87 |
156.58 |
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