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| MRCI's ScenarioSM Study |
| ScenarioSM Study for December Natural Gas(NYM) as of Jul 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 |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
| Tested Years |
16 |
17 |
17 |
17 |
17 |
18 |
18 |
18 |
18 |
18 |
18 |
| Closed Higher |
7 |
10 |
14 |
13 |
12 |
9 |
7 |
10 |
11 |
11 |
7 |
| Exceeded High |
5 |
9 |
12 |
13 |
10 |
4 |
3 |
9 |
9 |
9 |
2 |
| Scenario Percentage |
71% |
90% |
86% |
100% |
83% |
44% |
43% |
90% |
82% |
82% |
29% |
| Avg Max Increase |
14.57% |
11.26% |
12.27% |
13.05% |
12.85% |
8.06% |
23.64% |
21.10% |
17.94% |
19.65% |
26.52% |
| 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 |
17 |
18 |
14 |
23 |
11 |
20 |
13 |
16 |
11 |
| Avg Max Decline |
-0.36% |
-1.96% |
-1.75% |
-2.06% |
-2.06% |
-3.34% |
-2.76% |
-3.90% |
-2.43% |
-5.68% |
-4.22% |
| 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 |
9 |
4 |
10 |
8 |
16 |
6 |
8 |
7 |
8 |
3 |
| 2008 Contract Condition |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
|
|
|
| Action |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
|
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|
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 |
16 |
17 |
17 |
17 |
17 |
18 |
18 |
18 |
18 |
18 |
18 |
| Closed Lower |
9 |
7 |
3 |
4 |
5 |
9 |
11 |
8 |
7 |
7 |
11 |
| Penetrated Low |
7 |
4 |
|
4 |
5 |
7 |
9 |
7 |
7 |
6 |
9 |
| Scenario Percentage |
78% |
57% |
0% |
100% |
100% |
78% |
82% |
88% |
100% |
86% |
82% |
| Avg Max Decline |
4.64% |
6.09% |
|
9.51% |
11.99% |
11.45% |
9.73% |
9.93% |
11.09% |
13.28% |
23.15% |
| Max Decline |
11.38% |
16.43% |
|
21.83% |
28.01% |
19.05% |
23.07% |
13.61% |
29.85% |
29.25% |
59.69% |
| Avg Days To Max Decline |
13 |
13 |
|
20 |
21 |
23 |
21 |
13 |
11 |
18 |
21 |
| Avg Max Increase |
-0.94% |
-2.90% |
|
-3.59% |
-2.63% |
-6.82% |
-2.03% |
-4.67% |
-3.99% |
-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 |
15 |
15 |
10 |
7 |
21 |
8 |
| 2008 Contract Condition |
|
|
|
|
|
|
|
Yes |
|
|
|
| Action |
|
|
|
|
|
|
|
Not Yet |
|
|
|
| High |
8.767 |
9.130 |
10.380 |
11.232 |
12.154 |
12.780 |
14.110 |
14.323 |
|
|
|
| Low |
8.300 |
8.460 |
8.660 |
9.675 |
10.225 |
11.484 |
12.699 |
9.735 |
|
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|
| Close/Last |
8.767 |
8.955 |
10.322 |
10.973 |
11.715 |
12.457 |
14.110 |
9.984 |
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