|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for May Natural Gas(NYM) as of Jan 31, 2008 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
| Tested Years |
15 |
17 |
17 |
17 |
17 |
17 |
17 |
17 |
17 |
17 |
17 |
| Closed Higher |
9 |
9 |
11 |
10 |
10 |
6 |
6 |
5 |
8 |
11 |
14 |
| Exceeded High |
7 |
5 |
10 |
7 |
7 |
2 |
5 |
5 |
8 |
9 |
13 |
| Scenario Percentage |
78% |
56% |
91% |
70% |
70% |
33% |
83% |
100% |
100% |
82% |
93% |
| Avg Max Increase |
6.90% |
10.95% |
13.35% |
10.13% |
7.63% |
16.77% |
19.49% |
23.13% |
17.89% |
22.22% |
10.85% |
| Max Increase |
16.77% |
27.19% |
39.77% |
23.54% |
14.50% |
22.06% |
31.67% |
54.48% |
36.11% |
54.87% |
35.33% |
| Avg Days To Max Increase |
22 |
18 |
21 |
19 |
19 |
23 |
17 |
17 |
21 |
11 |
14 |
| Avg Max Decline |
-1.93% |
-2.70% |
-2.10% |
-1.86% |
-4.42% |
-2.09% |
-1.90% |
-1.89% |
-3.93% |
-3.51% |
-3.57% |
| Max Decline |
-4.89% |
-7.32% |
-6.85% |
-5.03% |
-13.36% |
-3.62% |
-4.42% |
-6.21% |
-7.50% |
-8.72% |
-7.77% |
| Avg Days to Max Decline |
10 |
18 |
11 |
4 |
11 |
3 |
3 |
5 |
10 |
7 |
4 |
| 2008 Contract Condition |
Yes |
|
Yes |
|
Yes |
Yes |
|
Yes |
Yes |
|
|
| Action |
Yes |
|
Yes |
|
Yes |
Yes |
|
Yes |
Not Yet |
|
|
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
| Tested Years |
15 |
17 |
17 |
17 |
17 |
17 |
17 |
17 |
17 |
17 |
17 |
| Closed Lower |
6 |
8 |
6 |
7 |
6 |
11 |
11 |
12 |
9 |
6 |
3 |
| Penetrated Low |
3 |
5 |
4 |
6 |
5 |
8 |
9 |
11 |
6 |
4 |
3 |
| Scenario Percentage |
50% |
63% |
67% |
86% |
83% |
73% |
82% |
92% |
67% |
67% |
100% |
| Avg Max Decline |
6.07% |
6.67% |
5.40% |
6.23% |
5.64% |
11.04% |
13.02% |
12.07% |
10.77% |
4.60% |
35.67% |
| Max Decline |
12.45% |
12.50% |
8.21% |
15.05% |
9.47% |
16.84% |
22.83% |
34.01% |
29.94% |
6.24% |
57.41% |
| Avg Days To Max Decline |
22 |
18 |
16 |
15 |
27 |
21 |
19 |
15 |
15 |
16 |
1 |
| Avg Max Increase |
-8.60% |
-3.08% |
-1.87% |
-2.36% |
-6.92% |
-1.24% |
-3.31% |
-1.76% |
-5.80% |
-6.94% |
-11.11% |
| Max Increase |
-13.25% |
-12.65% |
-3.75% |
-6.61% |
-20.13% |
-3.01% |
-9.12% |
-16.97% |
-13.73% |
-11.73% |
-15.22% |
| Avg Days to Max Increase |
15 |
15 |
4 |
10 |
21 |
7 |
9 |
6 |
4 |
14 |
15 |
| 2008 Contract Condition |
|
Yes |
|
Yes |
|
|
Yes |
|
|
|
|
| Action |
|
Yes |
|
Yes |
|
|
Yes |
|
|
|
|
| High |
8.469 |
8.550 |
8.127 |
8.166 |
7.696 |
8.164 |
8.318 |
7.639 |
8.327 |
|
|
| Low |
7.980 |
7.725 |
7.531 |
7.240 |
7.190 |
7.394 |
7.260 |
7.100 |
7.591 |
|
|
| Close/Last |
8.309 |
7.848 |
7.969 |
7.270 |
7.605 |
8.139 |
7.269 |
7.613 |
8.125 |
|
|
|
|
