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| MRCI's ScenarioSM Study |
| ScenarioSM Study for December Natural Gas(NYM) as of Aug 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 |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
| Tested Years |
15 |
16 |
16 |
16 |
16 |
17 |
17 |
17 |
17 |
17 |
17 |
| Closed Higher |
7 |
9 |
13 |
12 |
11 |
9 |
7 |
10 |
11 |
10 |
6 |
| Exceeded High |
5 |
8 |
11 |
12 |
9 |
4 |
3 |
9 |
9 |
8 |
1 |
| Scenario Percentage |
71% |
89% |
85% |
100% |
82% |
44% |
43% |
90% |
82% |
80% |
17% |
| Avg Max Increase |
14.57% |
11.86% |
12.64% |
13.83% |
13.99% |
8.06% |
23.64% |
21.10% |
17.94% |
20.47% |
48.46% |
| Max Increase |
31.28% |
23.70% |
34.97% |
48.25% |
40.77% |
12.88% |
52.45% |
67.45% |
32.88% |
69.88% |
48.46% |
| Avg Days To Max Increase |
19 |
26 |
18 |
19 |
14 |
23 |
11 |
20 |
13 |
18 |
21 |
| Avg Max Decline |
-0.36% |
-1.97% |
-1.74% |
-1.93% |
-2.02% |
-3.34% |
-2.76% |
-3.90% |
-2.43% |
-5.84% |
-7.26% |
| Max Decline |
-2.36% |
-3.30% |
-4.84% |
-5.84% |
-5.07% |
-5.95% |
-7.11% |
-13.32% |
-7.45% |
-17.06% |
-7.26% |
| Avg Days to Max Decline |
3 |
10 |
3 |
9 |
7 |
16 |
6 |
8 |
7 |
7 |
5 |
| 2007 Contract Condition |
|
Yes |
|
Yes |
Yes |
|
|
|
|
|
|
| Action |
|
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 |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
| Tested Years |
15 |
16 |
16 |
16 |
16 |
17 |
17 |
17 |
17 |
17 |
17 |
| Closed Lower |
8 |
7 |
3 |
4 |
5 |
8 |
10 |
7 |
6 |
7 |
11 |
| Penetrated Low |
7 |
4 |
|
4 |
5 |
6 |
8 |
6 |
6 |
6 |
9 |
| Scenario Percentage |
88% |
57% |
0% |
100% |
100% |
75% |
80% |
86% |
100% |
86% |
82% |
| Avg Max Decline |
4.64% |
6.09% |
|
9.51% |
11.99% |
10.53% |
9.16% |
9.32% |
12.45% |
13.28% |
23.15% |
| Max Decline |
11.38% |
16.43% |
|
21.83% |
28.01% |
19.05% |
23.07% |
13.25% |
29.85% |
29.25% |
59.69% |
| Avg Days To Max Decline |
13 |
13 |
|
20 |
21 |
23 |
20 |
14 |
12 |
18 |
21 |
| Avg Max Increase |
-0.94% |
-2.90% |
|
-3.59% |
-2.63% |
-7.54% |
-1.96% |
-4.43% |
-4.21% |
-11.98% |
-9.40% |
| Max Increase |
-7.66% |
-8.82% |
|
-11.38% |
-5.99% |
-14.34% |
-7.47% |
-9.98% |
-11.84% |
-31.20% |
-47.44% |
| Avg Days to Max Increase |
10 |
5 |
|
10 |
18 |
16 |
11 |
9 |
8 |
21 |
8 |
| 2007 Contract Condition |
Yes |
|
Yes |
|
|
Yes |
Yes |
Yes |
Yes |
|
|
| Action |
No |
|
Yes |
|
|
Yes |
Yes |
Yes |
Not Yet |
|
|
| High |
9.400 |
9.080 |
9.400 |
9.560 |
9.720 |
9.900 |
9.837 |
8.643 |
8.750 |
|
|
| Low |
8.270 |
8.340 |
8.880 |
8.840 |
9.220 |
9.445 |
8.482 |
8.028 |
7.381 |
|
|
| Close/Last |
8.563 |
9.016 |
9.015 |
9.560 |
9.661 |
9.600 |
8.573 |
8.294 |
7.381 |
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