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| MRCI's ScenarioSM Study |
| ScenarioSM Study for November 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 |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
| Tested Years |
3 |
11 |
13 |
15 |
19 |
20 |
20 |
21 |
21 |
21 |
21 |
| Closed Higher |
2 |
6 |
6 |
10 |
14 |
14 |
10 |
8 |
13 |
16 |
12 |
| Exceeded High |
1 |
5 |
6 |
10 |
13 |
11 |
8 |
8 |
11 |
16 |
8 |
| Scenario Percentage |
50% |
83% |
100% |
100% |
93% |
79% |
80% |
100% |
85% |
100% |
67% |
| Avg Max Increase |
14.64% |
7.36% |
10.82% |
10.63% |
9.06% |
6.60% |
6.98% |
14.09% |
18.21% |
11.18% |
8.32% |
| Max Increase |
14.64% |
17.16% |
21.12% |
21.93% |
20.23% |
17.99% |
12.38% |
39.71% |
71.91% |
29.31% |
15.24% |
| Avg Days To Max Increase |
3 |
12 |
16 |
13 |
18 |
15 |
21 |
22 |
21 |
20 |
20 |
| Avg Max Decline |
0.70% |
-0.67% |
-2.10% |
-0.64% |
-3.15% |
-1.90% |
-2.44% |
-2.23% |
-1.67% |
-4.24% |
-1.84% |
| Max Decline |
0.70% |
-3.88% |
-5.37% |
-5.17% |
-9.73% |
-9.50% |
-6.04% |
-10.60% |
-8.45% |
-14.50% |
-3.98% |
| Avg Days to Max Decline |
14 |
8 |
11 |
6 |
6 |
9 |
17 |
14 |
10 |
12 |
4 |
| 2005 Contract Condition |
|
|
Yes |
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
Yes |
| Action |
|
|
Yes |
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
No |
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
| Tested Years |
3 |
11 |
13 |
15 |
19 |
20 |
20 |
21 |
21 |
21 |
21 |
| Closed Lower |
1 |
5 |
7 |
5 |
5 |
6 |
10 |
13 |
8 |
5 |
9 |
| Penetrated Low |
1 |
2 |
5 |
1 |
3 |
3 |
8 |
9 |
5 |
2 |
6 |
| Scenario Percentage |
100% |
40% |
71% |
20% |
60% |
50% |
80% |
69% |
63% |
40% |
67% |
| Avg Max Decline |
25.67% |
15.83% |
7.20% |
8.40% |
6.51% |
6.33% |
9.41% |
6.93% |
7.89% |
9.36% |
8.23% |
| Max Decline |
25.67% |
26.63% |
10.55% |
8.40% |
9.60% |
7.80% |
15.05% |
17.36% |
17.39% |
10.25% |
13.16% |
| Avg Days To Max Decline |
30 |
21 |
17 |
17 |
21 |
21 |
14 |
14 |
14 |
9 |
15 |
| Avg Max Increase |
-0.15% |
-1.14% |
-0.91% |
0.33% |
-0.27% |
-4.03% |
-0.48% |
-1.77% |
-5.23% |
-1.53% |
-3.58% |
| Max Increase |
-0.15% |
-2.00% |
-3.39% |
0.33% |
-1.88% |
-6.96% |
-1.32% |
-7.83% |
-19.85% |
-2.44% |
-6.24% |
| Avg Days to Max Increase |
4 |
9 |
5 |
2 |
16 |
12 |
4 |
5 |
17 |
8 |
5 |
| 2005 Contract Condition |
|
Yes |
|
|
|
Yes |
Yes |
|
|
|
|
| Action |
|
No |
|
|
|
Yes |
No |
|
|
|
|
| High |
126.40 |
118.70 |
128.50 |
133.75 |
154.55 |
163.00 |
144.92 |
159.70 |
162.00 |
208.00 |
221.00 |
| Low |
116.95 |
107.26 |
111.30 |
120.75 |
134.90 |
141.20 |
133.00 |
140.00 |
151.40 |
164.00 |
176.50 |
| Close/Last |
123.65 |
113.13 |
127.60 |
133.68 |
154.55 |
142.31 |
138.87 |
148.88 |
161.75 |
205.88 |
209.68 |
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