|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for September Natural Gas(NYM) as of May 31, 2007 |
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 |
16 |
16 |
16 |
16 |
16 |
16 |
16 |
16 |
17 |
17 |
17 |
| Closed Higher |
10 |
5 |
4 |
6 |
8 |
12 |
12 |
9 |
8 |
7 |
8 |
| Exceeded High |
6 |
2 |
4 |
5 |
8 |
11 |
12 |
8 |
5 |
5 |
8 |
| Scenario Percentage |
60% |
40% |
100% |
83% |
100% |
92% |
100% |
89% |
63% |
71% |
100% |
| Avg Max Increase |
6.40% |
7.70% |
10.70% |
16.39% |
15.02% |
17.17% |
17.02% |
17.66% |
13.35% |
18.78% |
14.42% |
| Max Increase |
14.51% |
12.72% |
25.70% |
37.67% |
26.98% |
48.89% |
51.66% |
46.20% |
20.70% |
42.51% |
27.08% |
| Avg Days To Max Increase |
18 |
5 |
13 |
18 |
26 |
14 |
17 |
13 |
24 |
19 |
15 |
| Avg Max Decline |
-4.96% |
-1.54% |
-1.73% |
-0.41% |
-2.58% |
-2.02% |
-3.13% |
-3.60% |
-6.47% |
-8.89% |
-5.04% |
| Max Decline |
-12.68% |
-3.00% |
-2.90% |
-3.47% |
-3.79% |
-6.16% |
-6.26% |
-9.20% |
-11.97% |
-18.51% |
-11.41% |
| Avg Days to Max Decline |
7 |
3 |
5 |
5 |
15 |
5 |
8 |
8 |
16 |
11 |
4 |
| 2007 Contract Condition |
|
Yes |
Yes |
|
Yes |
|
Yes |
Yes |
|
|
|
| Action |
|
Yes |
No |
|
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 |
16 |
16 |
16 |
16 |
16 |
16 |
16 |
16 |
17 |
17 |
17 |
| Closed Lower |
6 |
11 |
12 |
10 |
7 |
4 |
4 |
7 |
9 |
10 |
9 |
| Penetrated Low |
5 |
8 |
10 |
9 |
4 |
2 |
4 |
6 |
8 |
8 |
9 |
| Scenario Percentage |
83% |
73% |
83% |
90% |
57% |
50% |
100% |
86% |
89% |
80% |
100% |
| Avg Max Decline |
4.82% |
8.62% |
9.46% |
7.42% |
9.81% |
1.73% |
11.48% |
17.35% |
16.73% |
14.41% |
24.26% |
| Max Decline |
9.66% |
14.36% |
18.69% |
14.78% |
25.24% |
2.42% |
25.63% |
35.19% |
26.65% |
24.34% |
42.90% |
| Avg Days To Max Decline |
19 |
15 |
13 |
17 |
24 |
15 |
22 |
24 |
23 |
16 |
18 |
| Avg Max Increase |
-3.28% |
-0.71% |
-2.29% |
-1.07% |
-4.32% |
-11.70% |
-3.95% |
-4.19% |
-8.68% |
-4.42% |
-8.25% |
| Max Increase |
-4.83% |
-1.72% |
-6.49% |
-10.41% |
-10.77% |
-23.15% |
-11.31% |
-10.27% |
-14.77% |
-13.49% |
-28.51% |
| Avg Days to Max Increase |
16 |
7 |
8 |
6 |
14 |
26 |
9 |
10 |
15 |
16 |
10 |
| 2007 Contract Condition |
Yes |
|
|
Yes |
|
Yes |
|
|
Yes |
|
|
| Action |
No |
|
|
Yes |
|
Yes |
|
|
Not Yet |
|
|
| High |
8.750 |
8.200 |
8.546 |
8.360 |
7.971 |
8.250 |
8.210 |
8.355 |
8.520 |
|
|
| Low |
7.310 |
7.480 |
7.730 |
6.830 |
6.810 |
7.720 |
7.420 |
7.810 |
7.885 |
|
|
| Close/Last |
7.523 |
7.733 |
8.546 |
7.113 |
7.961 |
7.762 |
8.157 |
8.191 |
8.118 |
|
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