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| MRCI's ScenarioSM Study |
| ScenarioSM Study for September 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 |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
| Tested Years |
3 |
14 |
15 |
18 |
18 |
19 |
20 |
21 |
21 |
21 |
21 |
| Closed Higher |
2 |
6 |
5 |
10 |
11 |
11 |
17 |
15 |
11 |
9 |
14 |
| Exceeded High |
2 |
3 |
4 |
9 |
10 |
10 |
16 |
12 |
9 |
9 |
12 |
| Scenario Percentage |
100% |
50% |
80% |
90% |
91% |
91% |
94% |
80% |
82% |
100% |
86% |
| Avg Max Increase |
3.46% |
7.69% |
10.58% |
8.78% |
13.64% |
13.69% |
9.43% |
8.25% |
7.59% |
17.75% |
18.88% |
| Max Increase |
3.92% |
10.23% |
14.97% |
19.30% |
30.40% |
23.87% |
23.30% |
30.07% |
13.06% |
59.71% |
77.71% |
| Avg Days To Max Increase |
13 |
29 |
12 |
16 |
17 |
15 |
16 |
14 |
17 |
21 |
22 |
| Avg Max Decline |
-0.61% |
-1.53% |
-0.49% |
-0.38% |
-2.39% |
-0.55% |
-3.16% |
-1.83% |
-4.60% |
-2.95% |
-1.60% |
| Max Decline |
-1.81% |
-2.32% |
-1.66% |
-3.35% |
-8.18% |
-4.75% |
-9.33% |
-10.88% |
-10.39% |
-14.07% |
-8.58% |
| Avg Days to Max Decline |
5 |
13 |
7 |
8 |
10 |
5 |
7 |
7 |
14 |
11 |
6 |
| 2005 Contract Condition |
|
Yes |
|
|
Yes |
Yes |
Yes |
|
|
Yes |
Yes |
| Action |
|
No |
|
|
Yes |
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 |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
| Tested Years |
3 |
14 |
15 |
18 |
18 |
19 |
20 |
21 |
21 |
21 |
21 |
| Closed Lower |
1 |
8 |
10 |
8 |
7 |
8 |
3 |
6 |
10 |
12 |
7 |
| Penetrated Low |
1 |
7 |
8 |
5 |
4 |
4 |
3 |
5 |
8 |
8 |
3 |
| Scenario Percentage |
100% |
88% |
80% |
63% |
57% |
50% |
100% |
83% |
80% |
67% |
43% |
| Avg Max Decline |
3.48% |
9.82% |
10.15% |
15.18% |
16.09% |
9.40% |
6.46% |
5.96% |
11.15% |
8.97% |
5.45% |
| Max Decline |
3.48% |
19.24% |
24.60% |
38.53% |
37.23% |
21.49% |
10.97% |
9.47% |
19.59% |
20.50% |
6.77% |
| Avg Days To Max Decline |
5 |
14 |
20 |
17 |
22 |
14 |
10 |
15 |
17 |
15 |
8 |
| Avg Max Increase |
0.10% |
-1.53% |
-0.23% |
-1.96% |
0.71% |
-2.96% |
-1.34% |
-3.39% |
-1.04% |
-2.70% |
-1.40% |
| Max Increase |
0.10% |
-5.28% |
-6.38% |
-5.91% |
-1.36% |
-8.64% |
-4.73% |
-7.50% |
-3.03% |
-9.82% |
-3.85% |
| Avg Days to Max Increase |
2 |
6 |
9 |
6 |
6 |
15 |
12 |
19 |
4 |
4 |
3 |
| 2005 Contract Condition |
|
|
Yes |
Yes |
|
|
|
Yes |
Yes |
|
|
| Action |
|
|
Yes |
No |
|
|
|
Yes |
No |
|
|
| High |
127.30 |
139.10 |
132.90 |
124.70 |
135.50 |
140.49 |
164.00 |
171.50 |
153.30 |
168.75 |
178.00 |
| Low |
112.94 |
127.12 |
124.23 |
112.36 |
116.30 |
125.90 |
141.35 |
148.50 |
138.00 |
146.70 |
158.60 |
| Close/Last |
126.26 |
133.80 |
130.00 |
118.13 |
134.15 |
140.33 |
163.15 |
149.76 |
146.07 |
156.53 |
172.61 |
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