|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for June Natural Gas(NYM) as of Feb 29, 2008 |
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 |
16 |
17 |
17 |
17 |
17 |
17 |
17 |
17 |
17 |
17 |
17 |
| Closed Higher |
8 |
11 |
10 |
9 |
4 |
5 |
6 |
8 |
10 |
13 |
7 |
| Exceeded High |
3 |
10 |
8 |
6 |
2 |
4 |
5 |
8 |
8 |
13 |
5 |
| Scenario Percentage |
38% |
91% |
80% |
67% |
50% |
80% |
83% |
100% |
80% |
100% |
71% |
| Avg Max Increase |
12.64% |
13.06% |
9.20% |
8.21% |
13.86% |
13.59% |
20.92% |
16.84% |
24.20% |
17.40% |
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 |
12 |
20 |
18 |
21 |
23 |
13 |
17 |
21 |
15 |
17 |
16 |
| Avg Max Decline |
-1.99% |
-2.08% |
-2.21% |
-4.29% |
-1.80% |
-3.77% |
-1.45% |
-3.01% |
-2.93% |
-4.27% |
-3.61% |
| Max Decline |
-3.16% |
-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 |
15 |
10 |
8 |
7 |
3 |
22 |
5 |
10 |
6 |
7 |
3 |
| 2008 Contract Condition |
|
Yes |
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
|
| Action |
|
No |
|
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 |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
| Tested Years |
16 |
17 |
17 |
17 |
17 |
17 |
17 |
17 |
17 |
17 |
17 |
| Closed Lower |
8 |
6 |
7 |
8 |
13 |
12 |
11 |
9 |
7 |
4 |
10 |
| Penetrated Low |
5 |
4 |
6 |
7 |
10 |
9 |
10 |
7 |
5 |
4 |
10 |
| Scenario Percentage |
63% |
67% |
86% |
88% |
77% |
75% |
91% |
78% |
71% |
100% |
100% |
| Avg Max Decline |
6.56% |
5.40% |
6.02% |
5.79% |
9.98% |
12.03% |
8.77% |
8.76% |
5.03% |
11.22% |
21.35% |
| Max Decline |
12.48% |
8.08% |
14.52% |
9.00% |
15.87% |
20.85% |
15.95% |
28.30% |
8.27% |
22.12% |
52.18% |
| Avg Days To Max Decline |
14 |
16 |
16 |
24 |
19 |
17 |
14 |
12 |
21 |
17 |
9 |
| Avg Max Increase |
-3.07% |
-1.79% |
-2.45% |
-5.54% |
-1.03% |
-2.93% |
-1.95% |
-4.28% |
-5.60% |
-5.10% |
-4.57% |
| 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 |
10 |
18 |
5 |
9 |
8 |
5 |
28 |
7 |
10 |
| 2008 Contract Condition |
Yes |
|
Yes |
|
|
Yes |
|
|
|
|
|
| Action |
Yes |
|
Yes |
|
|
Yes |
|
|
|
|
|
| High |
8.634 |
8.270 |
8.240 |
7.815 |
8.215 |
8.376 |
7.735 |
8.399 |
9.573 |
|
|
| Low |
7.836 |
7.609 |
7.314 |
7.294 |
7.484 |
7.355 |
7.210 |
7.684 |
7.800 |
|
|
| Close/Last |
7.933 |
8.064 |
7.355 |
7.678 |
8.204 |
7.363 |
7.703 |
8.203 |
9.477 |
|
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