|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for June Natural Gas(NYM) as of Feb 28, 2007 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
| Tested Years |
15 |
16 |
16 |
16 |
16 |
16 |
16 |
16 |
16 |
16 |
16 |
| Closed Higher |
7 |
10 |
10 |
9 |
3 |
4 |
6 |
7 |
10 |
12 |
7 |
| Exceeded High |
2 |
9 |
8 |
6 |
1 |
4 |
5 |
7 |
8 |
12 |
5 |
| Scenario Percentage |
29% |
90% |
80% |
67% |
33% |
100% |
83% |
100% |
80% |
100% |
71% |
| Avg Max Increase |
15.82% |
14.44% |
9.20% |
8.21% |
16.75% |
13.59% |
20.92% |
18.59% |
24.20% |
18.59% |
20.42% |
| Max Increase |
27.75% |
39.15% |
22.49% |
14.20% |
16.75% |
26.34% |
48.34% |
34.11% |
54.16% |
52.28% |
43.27% |
| Avg Days To Max Increase |
18 |
22 |
18 |
21 |
17 |
13 |
17 |
24 |
15 |
18 |
16 |
| Avg Max Decline |
-1.41% |
-1.94% |
-2.21% |
-4.29% |
-2.96% |
-3.77% |
-1.45% |
-3.06% |
-2.93% |
-4.41% |
-3.61% |
| Max Decline |
-1.46% |
-6.78% |
-4.34% |
-13.06% |
-2.96% |
-10.51% |
-5.56% |
-6.29% |
-8.24% |
-7.41% |
-8.56% |
| Avg Days to Max Decline |
13 |
11 |
8 |
7 |
5 |
22 |
5 |
11 |
6 |
9 |
3 |
| 2007 Contract Condition |
Yes |
Yes |
|
|
Yes |
Yes |
|
Yes |
|
|
|
| Action |
Yes |
Yes |
|
|
Yes |
No |
|
Yes |
|
|
|
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
| Tested Years |
15 |
16 |
16 |
16 |
16 |
16 |
16 |
16 |
16 |
16 |
16 |
| Closed Lower |
8 |
6 |
6 |
7 |
13 |
12 |
10 |
9 |
6 |
4 |
9 |
| Penetrated Low |
5 |
4 |
5 |
7 |
10 |
9 |
9 |
7 |
4 |
4 |
9 |
| Scenario Percentage |
63% |
67% |
83% |
100% |
77% |
75% |
90% |
78% |
67% |
100% |
100% |
| Avg Max Decline |
6.56% |
5.40% |
4.31% |
5.79% |
9.98% |
12.03% |
9.26% |
8.76% |
4.97% |
11.22% |
22.07% |
| Max Decline |
12.48% |
8.08% |
9.95% |
9.00% |
15.87% |
20.85% |
15.95% |
28.30% |
8.27% |
22.12% |
52.18% |
| Avg Days To Max Decline |
14 |
16 |
14 |
24 |
19 |
17 |
15 |
12 |
21 |
17 |
9 |
| Avg Max Increase |
-3.07% |
-1.79% |
-2.60% |
-5.54% |
-1.03% |
-2.93% |
-2.15% |
-4.28% |
-6.10% |
-5.10% |
-4.87% |
| Max Increase |
-12.48% |
-3.50% |
-7.18% |
-19.06% |
-2.68% |
-8.25% |
-15.44% |
-11.97% |
-20.14% |
-11.59% |
-15.32% |
| Avg Days to Max Increase |
15 |
4 |
11 |
18 |
5 |
9 |
8 |
5 |
33 |
7 |
9 |
| 2007 Contract Condition |
|
|
Yes |
Yes |
|
|
Yes |
|
Yes |
|
|
| Action |
|
|
Yes |
No |
|
|
No |
|
Not Yet |
|
|
| High |
8.655 |
8.750 |
8.800 |
8.420 |
7.992 |
8.344 |
8.125 |
7.850 |
8.030 |
|
|
| Low |
7.950 |
8.017 |
8.187 |
7.080 |
7.270 |
7.470 |
6.560 |
6.570 |
7.460 |
|
|
| Close/Last |
8.279 |
8.746 |
8.283 |
7.293 |
7.519 |
8.344 |
6.813 |
7.766 |
7.507 |
|
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