|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for September Natural Gas(NYM) as of May 31, 2010 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
| Tested Years |
|
19 |
19 |
19 |
19 |
19 |
19 |
19 |
19 |
20 |
20 |
20 |
| Closed Higher |
|
11 |
7 |
5 |
7 |
10 |
13 |
14 |
11 |
10 |
8 |
8 |
| Exceeded High |
|
7 |
4 |
4 |
6 |
10 |
12 |
14 |
10 |
6 |
6 |
8 |
| Scenario Percentage |
|
64% |
57% |
80% |
86% |
100% |
92% |
100% |
91% |
60% |
75% |
100% |
| Avg Max Increase |
|
6.72% |
6.92% |
10.79% |
17.87% |
15.37% |
17.54% |
16.38% |
16.83% |
13.92% |
16.32% |
14.70% |
| Max Increase |
|
14.51% |
12.72% |
25.70% |
40.58% |
29.66% |
48.89% |
51.66% |
46.20% |
20.70% |
44.05% |
28.45% |
| Avg Days To Max Increase |
|
16 |
10 |
14 |
20 |
23 |
16 |
18 |
15 |
20 |
16 |
15 |
| Avg Max Decline |
|
-4.55% |
-1.09% |
-1.73% |
-0.49% |
-2.81% |
-2.42% |
-3.61% |
-3.57% |
-5.42% |
-7.69% |
-5.16% |
| Max Decline |
|
-12.68% |
-3.00% |
-2.90% |
-3.47% |
-4.55% |
-6.78% |
-7.19% |
-9.20% |
-11.97% |
-18.51% |
-11.41% |
| Avg Days to Max Decline |
|
9 |
2 |
5 |
8 |
12 |
7 |
8 |
7 |
13 |
10 |
4 |
| 2010 Contract Condition |
|
Yes |
|
|
Yes |
|
|
|
Yes |
Yes |
|
|
| Action |
|
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 |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
| Tested Years |
|
19 |
19 |
19 |
19 |
19 |
19 |
19 |
19 |
20 |
20 |
20 |
| Closed Lower |
|
8 |
12 |
14 |
12 |
8 |
6 |
5 |
8 |
10 |
12 |
12 |
| Penetrated Low |
|
5 |
9 |
12 |
11 |
5 |
4 |
5 |
6 |
9 |
10 |
9 |
| Scenario Percentage |
|
63% |
75% |
86% |
92% |
63% |
67% |
100% |
75% |
90% |
83% |
75% |
| Avg Max Decline |
|
7.82% |
10.06% |
10.51% |
9.07% |
11.45% |
7.73% |
12.16% |
17.35% |
17.97% |
15.70% |
14.04% |
| Max Decline |
|
17.97% |
20.90% |
29.50% |
28.61% |
25.24% |
22.92% |
25.63% |
35.19% |
27.88% |
31.54% |
25.38% |
| Avg Days To Max Decline |
|
24 |
18 |
14 |
18 |
25 |
20 |
24 |
24 |
23 |
17 |
20 |
| Avg Max Increase |
|
-2.99% |
-1.62% |
-2.00% |
-2.03% |
-5.15% |
-7.68% |
-3.41% |
-4.33% |
-8.15% |
-4.52% |
-6.35% |
| Max Increase |
|
-4.08% |
-5.87% |
-6.49% |
-10.41% |
-10.77% |
-23.15% |
-11.31% |
-10.27% |
-14.77% |
-13.49% |
-16.17% |
| Avg Days to Max Increase |
|
15 |
7 |
7 |
6 |
13 |
19 |
9 |
10 |
14 |
20 |
5 |
| 2010 Contract Condition |
|
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
|
Yes |
|
| Action |
|
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
|
|
|
| High |
6.324 |
6.274 |
6.458 |
5.784 |
6.145 |
6.160 |
5.883 |
5.167 |
4.680 |
4.702 |
4.550 |
|
| Low |
5.677 |
5.275 |
5.745 |
5.175 |
4.970 |
5.390 |
5.076 |
4.145 |
4.170 |
4.140 |
4.352 |
|
| Close/Last |
5.680 |
6.239 |
5.825 |
5.417 |
5.795 |
5.425 |
5.145 |
4.213 |
4.215 |
4.464 |
4.371 |
|
|
|
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|
