Natural Gas Demetri Demascus, Jai Gandhi, Antonio Huancaruna December 2, 2012 The authors of this paper hereby give permission to Professor Michael Goldstein to distribute this paper by hard copy, to put it on reserve at Horn Library at Babson College, or to post a PDF version of this paper on the internet. I pledge my honor that I have neither received nor provided any unauthorized assistance during the completion of this work.
Introduction Residential, commercial, and industrial consumers use natural gas for heating, cooling, cooking, and electricity. Discovering various trends in natural gas prices can help these consumers budget accordingly over the years. In some cases, predicting these trends may also prove to be profitable for investors to purchase futures in natural gas, which are contracts that establish a specific price, which natural gas or another commodity can be purchased at on a future date. Basic Keynesian economic theory states that a shift in the supply and demand level in the market determines the price of natural gas. Natural Gas is traded as futures in the form of exchange-traded contracts on NYMEX. Essentially, two ways being futures and equity based ETFs. Each quote is for 10,000 mmbtus, or million British Thermal Units. It is essentially a way of pricing energy, in this case for the natural gas future delivery on a specified date. 1 History Natural gas has had a long and constantly changing history on Earth. However the first accountable, commercial use of natural gas in the US was in Baltimore, Maryland in 1816, copying the English method of getting natural gas from coal to light some houses and streets. However the first natural gas well in America was dug in 1821 Fredonia, New York by William Hart, forming the Fredonia Gas Light Company, the first American natural gas distribution company. 2 Philadelphia was the first city to start a municipally owned gas distribution system in the US in 1836. Today it owns the largest gas distribution company in the US where there are over 900 of these companies. In these times natural gas was mainly used for lighting purposes 1 Options Guide 2 APGA 2
until Robert Bunsen created what we know as the Bunsen burner in 1885, creating a wide array of new uses for the natural gas to home heating and cooking, appliances such as water heaters and oven ranges, manufacturing and processing plants, and boilers to generate electricity. 3 Today Natural gas is an extremely important component of the world s energy supply today. Huge amounts of the United States energy demands are met using natural gas. More than half of all the energy used in commercial and residential properties, and close to 41% of the energy consumed by industries comes from natural gas. 4 Natural gas is one of the most useful sources of energy for the world due to its cleanliness and safety attributes. 5 Natural gas plays a pivotal role in the worlds combined effort to reduce pollution and create a cleaner environment. It is the cleanest burning fossil fuel and 99% of the US s natural gas comes from North America itself. The 2 million mile pipeline used to transport Natural Gas across North America has an almost perfect safety record, helping the US maintain its competitive economy and energy security. 6 There has been an increasing demand in many countries around the world to start importing LNG (Liquefied Natural Gas). The USA has capitalized on this opportunity, as now larger volumes of gas can be transported at lower costs. Therefore there has been a steady increase in the amount of imported LNG used in the US. This has caused an increase in investments in the form of LNG facilities and the numbers of people employed in the industry, therefore increasing 3 APGA 4 APGA 5 ETF Daily News 6 APGA 3
the overall value of the natural gas industry. However only a small amount of natural gas used in the US is liquefied, and therefore is going to grow steadily. 7 Ways to Invest in Natural Gas Futures-Based Natural Gas ETFs There are a variety of futures based funds used to trade natural gas. UNG, or United States Natural Gas Fund, is the most direct way for investors to have direct exposure to natural gas. This fund is the most popular ETF traded as well as the most liquid asset. It tracks natural gas futures traded on NYMEX. 8 UNG only holds next-month contracts. UNG has seen much depletion this year, about 15.8% due to its susceptible exposure. 9 It is currently trading at a price of $20.39 as of the close on Friday Novermber 30, 2012. GAZ, or ipath Dow Jones-UBS Natural Gas ETN acts as a benchmark of the physical commodity natural gas. This fund is heavily exposed to the heating and cooling industries in the U.S. It has a heavily traded volume, at more then 400,000 shares traded per day. Despite this, it is a quite volatile fund. This year GAZ is down approximately 14.59%. 10 The current price is $3.02 as of the close on Friday November 30, 2012. United States 12 Month Natural Gas Fund, UNL, is another way to gain direct exposure to the natural gas markets. This ETF is made up of 12 natural gas futures with both near month securities as well as for the next 11 months. This ETF is traded in small volumes at only about 7 APGA 8 Zacks Investment Research 9 Yahoo Finance (UNG) 10 Yahoo Finance (GAZ) 4
56,000 shares per day and is down about 16%. 11 Investors use UNL in order to protect against contango, a situation where the price of futures contracts are trading above the expected spot price at contract maturity. It is currently priced at $18.02 as of close on Friday November 30, 2012, down 10.4% year to date. 12 Other natural gas futures include E-TRACS Natural Gas Futures Contango ETN (GASZ, $28.32, up 3.01% YTD), Teucrium Natural Gas Fund (NAGS, $12.10, down 8.21% YTD), ipath Seasonal Natural Gas ETN (DCNG, $29.83, down 3.99% YTD), ProShares Ultra DJ-UBS Natural Gas Fund (BOIL, $45.67, down 47.99% YTD), ProShares UltraShort DJ-UBS Natural Gas Fund (KOLD, $22.67, up 13.9% YTD), VelocityShares 3X Long Natural Gas ETNs (UGAZ, $28.02, down 23% YTD), VelocityShares 3X Inverse Natural Gas ETN (DGAZ, $17.63, down 54% YTD). 13 Equity- Based Natural Gas ETFs Equity-Based Natural Gas ETFs are another way that investors trade natural gas. First Trust ISE-Revere Natural Gas Index Fund, FCG, is a way that investors can mimic the ISE-Revere Natural Gas Index without having to pay fees and expenses. 14 The ETF is based off of 31 securities of companies whose revenue streams are from the research, development and production of natural gas. 15 It is a very volatile ETF but does return a dividend of.5% annually. It is currently priced at $15.78, down 7.87% YTD. 16 11 Zacks Investment Research 12 Yahoo Finance (UNL) 13 Zacks Investment Research, Yahoo Finance (GASZ, NAGS, DCNG, BOIL, KOLD, UGAZ, DGAZ) 14 Zacks Investment Research 15 Zacks Investment Research 16 Yahoo Finance (FCG) 5
Investors have been attracted to Direxion Daily Natural Gas Related Bear 3x ETF, GASX, due to its returns, approximately 9% in the last two months to $17.24. Despite this, GASX is up about 2.4% on the year. Another Equity-Based ETF is the Direxion Daily Natural Gas Related Bull 3X ETF (GASL), which is down 37.19% to $20.70. 17 When compared over the last four years, Equity-Based Natural Gas ETFs have outperformed Futures-Based Natural Gas ETFs. This model shows Equity-Based Natural Gas ETFs in red and yellow and Futures-Based Natural Gas ETFs in blue and green. 18 The companies that FCG invests in are helped by the increases on drilling and accessing new beds, allowing the U.S. to reach all-time highs in natural gas inventory. As inventory has been increasing due to easier means of accessing and refining natural gas, this has caused the price of natural gas to go down. While the companies that produce it are thriving, hence an increase in the price of ETF s that track them, natural gas as a commodity has decreased; hence, a decrease in the price of the Futures Based Natural Gas ETF s that are exposed to natural gas. Risks Investing in Natural Gas 17 Zacks Investment Research 18 Google Finance 6
There are many risks associated with investing in natural gas. Politics, supply and demand, high costs associated with the drilling and refinement all can have a great, rapid affect on the industry. There are many government regulations that are already in place within the natural gas industry. In addition, constantly changing regulations due to the limited commodity and environmental impact can make this industry volatile to invest in. 19 The supply and demand of natural gas can also have an affect on the industry. As people desire for heating and cooling changes with the weather, in addition to new technology to utilize natural gas for transportation or replacing natural gas as a use are both factors that make investing in the industry risk. High capital costs are another issue with investing in natural gas. When investing in natural gas it is best to diversify your portfolio across the industry to help eliminate areas of risk. 20 Natural Gas Industry Both the producers and consumers of the physical commodity can affect the natural gas markets. Buyers of natural gas can lock in long-term prices that they feel comfortable with due to it being low, or to hedge against price raising. Conversely, the producers can lock in selling price. 21 Barriers to entry include high start-up capital and limited natural gas abundance in the world. Having the ability to access these natural gas fields is one major barrier to entry. Location is also a barrier all involved in the industry must be either near where the natural gas is drilled for, a pipeline or where it is refined. The industry is well established, and trying to enter it would require large investment and strong networking. A better way to enter the industry would be 19 Jackson 20 Jackson 21 Options Guide 7
through a substitute industry of biofuels or by trying to develop new technology to either drill for and refine natural gas or use it. Locations Natural Gas is produced numerous states domestically, with the most popular being Oklahoma at 27% and Texas at 31%. Louisiana, Wyoming and New Mexico are the next biggest producers at 8%, 7% and 7% respectively. The rest of the United States accounts for about 20% of domestic natural gas production. Natural Gas Produc.on by State WY NM LA OK TX US Modern Technology 8
Under Barack Obama, natural gas prices have seen a significant decrease. 22 Despite this, modern technology such as hydraulic fracturing has allowed new gas and oil beds to be accessed for use. These are natural to the United States. Most recently, the Energy Information Administration reported in November that the United State s natural gas inventory reach an all-time high. 23 This is proven by basic economics, as supply increases, price decreases. This is in spite of this, reports and an increase in the price of natural gas futures in November indicated that investors felt that there would be in fact more of a hit onto national natural gas stockpiles due to unseasonably cold weather in the fall of 2012. 24 We expect natural gas production to continue in this way as new technology continues to allow us to access more natural gas as and more utility and transportation usage is converted to natural gas or invented. Currently there are many scientific research ventures underway trying to solve the problem of natural gas pollution, costs, risks and volatility. Finding a replacement to natural gas could save greatly on transportation pollution. With much emphasis on energy development, there is a good chance that natural gas and the natural gas industries may be replaced in the future. Right now, there is much technology focused on both the advancement of drilling and refining natural gas as well as well as gas replacement. With more then 210 natural gas pipeline systems in the U.S., and due to the large amount of transportation and utilities that rely on it, natural gas will take time to be replaced even when a viable replacement is found. The United States has enough natural gas to sustain the country for the next 100 years, approximately 2,214 cubic feet. 25 Natural Gas consumption should continue to rise in the U.S. as it becomes a more realistic option to replace oil; despite this, those investing should pay particular attention to the energy and 22 ETF Daily News 23 ETF Daily News 24 Etftrends.com 25 Doran and Reed 9
biofuels industries. As more modern, less established alternatives, their growth will have a great affect on the natural gas industry. Demand Factors According to the US Energy Information Administration the most influential demand factors that affect natural gas price are: Economic growth level: The demand for natural gas increases during times of economic growth. For instance, commercial users like schools, hospitals, mall, and office buildings accounts account for the 14% of the total US natural gas consumption. Also, natural gas plays a significant role for generating electricity, which is thirty percent of the total natural gas consumption. As you can see in Figure 1, from the 1970 s natural gas is becoming a main player in electricity generation. Long-term projections show that the need for natural gas will be increasing in the electricity sector. Therefore, this will require more private investment in the natural gas sector in order to keep with the increasing demand. This will create a high pressure on keeping natural gas prices stable. 26 Weather Fluctuations: Natural gas demand usually increases during cold winters where household and commercial users increase heating consumption. Also, during hot summers, natural gas demand tends to increase due to the need of cooling systems. For instance, natural gas prices have continued their downward trend this winter as a result of warmer-than-normal temperatures and natural gas storage levels have exceeded 5-year average range by over 500 billion cubic feet. 27 This shows that weather has a significant effect on natural gas demand. During the winter 2011-2012 the absence of cold weather has led to a low demand in natural gas 26 EIA 27 EIA 10
and withdraws from underground storage has also decreased. This is a reason why there is an excess of natural gas storage levels. Fuel switching: Natural gas is the main component for many industrial products and electric services. The price of natural gas plays a significant role in their core business. If natural gas prices are very high, this will affect the demand of these producers. As a consequence, these consumers might switch to cheaper coal and oil providers. For instance, industrial and electric generation producers have the capacity to switch to these direct natural gas substitutes. Supply Factors According to the US Energy Information Administration the most influential supply factors that affect natural gas price are: Natural gas production: As global economy recovers, natural gas demand is expected to increase as US domestic consumption increases every year. The increase in consumption along with the discover of large natural gas reserves has led to low natural gas prices, incentivizing the industry's customers to demand natural gas liquids at increasing rates. 28 US domestic natural gas production will be negatively correlated with US natural gas price. In other words, we expect that as domestic production levels increase, natural gas prices will move in the opposite direction and decrease 29 Net imports: Natural gas net imports are highly related to many factors like weather, commercial and household consumption, and electricity generators. According to EIA about 95 percent of U.S. natural gas imports are from Canada. However, US annual natural gas imports has 28 IBISWorld 29 EIA 11
decreased due to new discoveries of natural gas reserves as it is shown in Figure 2. If natural gas imports decrease, the commodity price will tend to increase. 30 U.S. Natural Gas Imports China Nigeria Qatar Mexico U.S. Natural Gas Imports Norway Egypt Trinidad and Tobago 0 200 400 600 800 1,000 1,200 1,400 1,600 31 U.S. Natural Gas Exports Barbados Malasia Ireland Trinidad and Tobago China Chile Mexico South Korea Canada Japan U.S. Natural Gas Exports 0 50 100 150 200 250 300 32 30 EIA 31 Workman 12
Underground storage levels: Natural gas price is highly related to weather temperatures. During heating seasons there is a strong connection between storage levels and changes in spot prices of natural gas. As temperature drops in winter, storage withdrawal levels increase which causes spot prices to have a dramatic rise in the market. For example, if storage levels are particularly low at the end of March the end of the heating season many buyers may decide to purchase large amounts of gas for storage during April, putting upward pressure on sport prices. 33 Hypothesis In order to predict natural gas prices in the US, we determined that the most important factors to consider are US domestic natural gas production levels, US natural gas import levels, US natural gas storage levels, and the general state of the US economy as measure by the Consumer Price Index (CPI). In addition to these monthly data, we considered a seasonality factor as well in order to determine whether prices tend to be higher or lower during certain months of the year. Based on the data collected, we constructed a correlation table in order to determine if the price of natural gas in the US tends to increase or decrease relative to the factors that were considered. This correlation table is presented in Table 3. According to this table and general intuition, we can form hypotheses for what effect we expect each factor to have on prices of natural gas in the US. The following are our hypotheses for each variable: Factor Effect on US Natural Gas Price U.S. Natural Gas Production U.S. Natural Gas Imports CPI (not seasonal) Hypothesis Sign (-) Negative (+) Positive (+) Positive 32 Workman 33 EIA 13
U.S. Natural Gas Storage from previous month Feb-Mar-Apr May-Jun-Jul Nov-Dec-Jan (-) Negative (-) Negative (-) Negative (-) Negative We predict that US domestic natural gas production will be negatively correlated with US natural gas price. In other words, we expect that as domestic production levels increase, natural gas prices will move in the opposite direction and decrease. In addition, we expect that if natural gas imports into the US increase, the price in the US will also increase. Further, we expect that as the US CPI increases, consumers will be willing to pay higher prices, so natural gas will increase in price in response. Finally, when the storage levels in the US in the previous month are higher, we expect the upcoming month s natural gas price to be lower. Storage levels in the US tend to have definite peak-levels and low-levels each year (as visible in Figure 1), like a company s warehouse inventory level that varies based on delivery and production times. These storage levels are based on production and withdrawal during the year. From a seasonal perspective, according to data about natural gas prices, prices tend to peak during certain seasons. Methodology Using the data collected, we ran multiple regression models to find trends that can help predict prices based on the chosen factors. The data was collected from the US Energy Information Administration. 34 The prices were chosen to be the dependent variable, which will be affected by the rest of the factors. The US average price of natural gas in the data is based on the average price per month as divided evenly across residential and commercial consumers. 34 EIA 14
Lagging of Data: Previous months can predict future months The US storage volume data did not correlate very strongly with the current month, so we decided to lag the data by one month to see if a trend emerged. As predicted, the US storage level from the previous month does have a strong effect on the upcoming month s natural gas price. For example, the lowest storage level in 2011 was during the month of April; this did not correlate with the lowest price of the year, and in fact was off by several months. Results The data results in two very accurate models as presented in Tables 1 & 2. The first model (Model 1 in Table 1) does not use seasonality as a factor. According to this model, if the month of the year is ignored, the remaining variables have the predicted effects from our hypotheses above. The prediction for price of natural gas is affected by US domestic production with a negative correlation, so when domestic product increases, the US price decreases. The second factor is concerned with imports from around the world, especially from Canada, which provides with the 95% of US total imports. 35 When import levels are high, the price tends to be higher that month. When storage levels from the previous month are higher, price tends to be lower the following month. This makes sense because if supply levels are high in storage, gas companies may lower their prices in order to sell more units. The US economy as measured by the CPI affects natural gas prices as well. When the CPI is higher, the regression model indicates that price will also be higher. In the second model (Model 2 in Table 2), all of these trends are also in the same directions, with the addition of seasonality effects. According to Model 2, prices in general are highest in August, September, and October. These prices lower slightly during the season of November, December, and January. Prices are lowest during the season of February, 35 EIA 15
March, and April. These seasons make sense due to peaks in storage and high usage during high heating and cooling seasons. Accuracy of the Models Both models are very accurate and significant to a 99% degree of confidence. Each variable s p- value is very small and therefore significant at the 99% level of confidence. Given that, Model 2 is more accurate than Model 1. In Model 1, the regression has an Adjusted R-Square value of 0.75319, which means that about 75.32% of US Natural Gas Prices can be accurately predicted based on the chosen independent variables and model. In Model 2, the regression has an Adjusted R-Square value of 0.8554, which means that about 85.54% of US Natural Gas Prices can be accurately predicted based on the chosen independent variables and model. Conclusion As stated, we predict the price of natural gas to continue to decrease as domestic production continues to increase. While there will be ways to capitalize on the great increase to the natural gas industry, such as by investing in Equity Based Natural Gas ETF s that are exposed to the production of natural gas and not the commodity. In addition, as more ways arise in which we can make use of natural gas, there should be an increase in demand in the U.S. as well. Our models show that these factors affect the natural gas industry, and should be considered by any investor who is interested in investing in natural gas. 16
Appendix Figure 1: US Natural Gas Storage levels show seasonal trends with peak- levels and low- levels 36 9,000,000 8,000,000 7,000,000 6,000,000 5,000,000 4,000,000 3,000,000 U.S. Natural Gas Underground Storage Volume [in Millions of Cubic Feet] Jan- 1997 Aug- 1997 Mar- 1998 Oct- 1998 May- 1999 Dec- 1999 Jul- 2000 Feb- 2001 Sep- 2001 Apr- 2002 Nov- 2002 Jun- 2003 Jan- 2004 Aug- 2004 Mar- 2005 Oct- 2005 May- 2006 Dec- 2006 Jul- 2007 Feb- 2008 Sep- 2008 Apr- 2009 Nov- 2009 Jun- 2010 Jan- 2011 Aug- 2011 Mar- 2012 Table 1: Multiple Regressions with no Seasonality Considered 37 MODEL 1 Predicting US Price of Natural Gas (average of residential and commercial consumers) in Dollars per Thousand Cubic Feet Coefficients P- value Intercept - 1.249289071 0.4706 U.S. Dry Natural Gas Production (MMcf) [Millions of Cubic Feet] - 8.65869 x 10^(- 6) 0.0000 U.S. Natural Gas Imports (MMcf) [Millions of Cubic Feet] 1.01928 x 10^(- 5) 0.0003 CPI for all products (not seasonally adjusted) 0.129310833 0.0000 U.S. Natural Gas Underground Storage Volume (MMcf) [Millions of Cubic Feet] - 4.10094 x 10^(- 7) 0.0041 R Square (accuracy) 0.758467749 Adjusted R Square (multiple regression accuracy) 0.753188356 Standard Error 1.35524172 Number of Observations (monthly for 1997-2012) 188 Table 2: Multiple Regression with Seasonality 38 MODEL 2 Predicting US Price of Natural Gas (average of residential and commercial consumers) in Dollars per Thousand Cubic Feet Coefficients P- value Intercept 6.805822056 0.0002 U.S. Dry Natural Gas Production (MMcf) [Millions of Cubic Feet] - 9.78681x10^(- 06) 0.0000 U.S. Natural Gas Imports (MMcf) [Millions of Cubic Feet] 7.37022x10^(- 06) 0.0018 CPI for all products (not seasonally adjusted) 0.14739591 0.0000 U.S. Natural Gas Underground Storage Volume (MMcf) [Millions of Cubic - 1.54292x10^(- 06) 0.0000 Feet] Feb, Mar, Apr - 3.192305755 0.0000 36 EIA 37 EIA 38 EIA 17
May, Jun, Jul - 1.131478286 0.0000 Nov, Dec, Jan - 0.670451908 0.0053 R Square (accuracy) 0.860825644 Adjusted R Square (multiple regression accuracy) 0.855413308 Standard Error 1.037285006 Number of Observations (monthly for 1997-2012) 188 Table 3: Correlation Table 39 US Price of Natural Gas U.S. Natural Gas Production U.S. Natural Gas Imports CPI (not seasonal) U.S. Natural Gas Storage from previous month Feb- Mar- Apr May- Jun- Jul Nov- Dec- Jan US Price of Natural Gas 1.00000 U.S. Natural Gas Production 0.15779 1.00000 U.S. Natural Gas Imports 0.46074-0.26139 1.00000 CPI (not seasonal) 0.74417 0.64540 0.19284 1.00000 0.13517 0.25936 0.11106 0.33266 1.00000 U.S. Natural Gas Storage from previous month Feb- Mar- Apr - 0.15183-0.10733-0.07339-0.01314-0.54938 1.00000 May- Jun- Jul 0.14421 0.10029-0.12997 0.03241-0.33321-0.34286 1.00000 Nov- Dec- Jan - 0.13777 0.03451 0.23898-0.03301 0.55231-0.33327-0.33327 1.00000 39 EIA 18
Table 4: Data 40 Average US Price of Natural Gas per Thousand Cubic Feet U.S. Natural Gas Production in Millions of Cubic Feet U.S. Natural Gas Imports in Millions of Cubic Feet CPI for all products (not seasonally adjusted) U.S. Natural Gas Storage Volume from previous month in Millions of Cubic Feet Date Jan-1997 $6.47 1,617,923 278,288 159.1 6,513,261 Feb-1997 $6.47 1,465,907 240,545 159.6 5,843,054 Mar-1997 $6.13 1,627,602 256,985 160.0 5,481,074 Apr-1997 $6.00 1,551,268 238,178 160.2 5,335,550 May-1997 $6.11 1,610,527 241,732 160.1 5,393,231 Jun-1997 $6.97 1,525,325 232,118 160.3 5,704,423 Jul-1997 $7.07 1,584,526 235,593 160.5 6,087,891 Aug-1997 $7.21 1,581,520 244,684 160.8 6,372,309 Sep-1997 $7.21 1,545,194 239,486 161.2 6,694,744 Oct-1997 $6.72 1,597,116 251,758 161.6 7,032,532 Nov-1997 $6.36 1,547,069 272,091 161.5 7,244,192 Dec-1997 $6.13 1,575,412 262,716 161.3 7,058,164 Jan-1998 $6.03 1,658,885 286,278 161.6 6,524,603 Feb-1998 $6.00 1,476,580 251,052 161.9 6,059,533 Mar-1998 $5.85 1,648,339 263,032 162.2 5,768,168 Apr-1998 $6.23 1,591,701 253,161 162.5 5,524,413 May-1998 $6.72 1,650,538 252,310 162.8 5,725,086 Jun-1998 $7.01 1,582,144 243,442 163.0 6,114,204 Jul-1998 $7.09 1,611,386 266,319 163.2 6,448,734 Aug-1998 $7.36 1,622,594 274,809 163.4 6,806,057 Sep-1998 $7.23 1,473,001 262,142 163.6 7,037,836 Oct-1998 $6.46 1,589,442 266,063 164.0 7,268,592 Nov-1998 $5.90 1,539,977 258,033 164.0 7,533,283 Dec-1998 $5.79 1,578,976 275,417 163.9 7,498,618 Jan-1999 $5.60 1,625,336 310,790 164.3 7,055,564 Feb-1999 $5.79 1,465,120 286,412 164.5 6,404,470 Mar-1999 $5.52 1,621,893 301,610 165.0 6,074,901 Apr-1999 $5.88 1,549,496 271,387 166.2 5,788,960 May-1999 $6.32 1,578,623 291,454 166.2 5,876,197 Jun-1999 $6.75 1,540,990 279,096 166.2 6,206,150 Jul-1999 $7.13 1,585,739 296,422 166.7 6,519,178 Aug-1999 $7.30 1,582,361 312,081 167.1 6,749,210 Sep-1999 $7.09 1,531,563 302,414 167.9 6,978,115 Oct-1999 $6.51 1,587,111 304,637 168.2 7,292,291 Nov-1999 $6.44 1,560,232 305,152 168.3 7,443,251 Dec-1999 $6.04 1,603,767 324,050 168.3 7,444,913 Jan-2000 $6.07 1,622,726 325,897 168.8 6,906,222 Feb-2000 $6.25 1,494,676 300,107 169.8 6,139,305 Mar-2000 $6.35 1,635,707 306,596 171.2 5,681,255 Apr-2000 $6.61 1,546,594 294,016 171.3 5,516,786 May-2000 $7.12 1,606,752 287,793 171.5 5,564,588 Jun-2000 $8.00 1,568,345 296,046 172.4 5,795,357 Jul-2000 $8.44 1,620,073 322,285 172.8 6,078,632 Aug-2000 $8.23 1,632,320 318,308 172.8 6,364,523 Sep-2000 $8.51 1,579,598 304,843 173.7 6,560,205 Oct-2000 $8.46 1,661,990 324,527 174.0 6,854,681 Nov-2000 $8.08 1,581,133 329,759 174.1 7,091,843 Dec-2000 $8.38 1,632,066 371,425 174.0 6,803,053 Jan-2001 $9.81 1,671,928 373,077 175.1 6,071,016 Feb-2001 $10.03 1,509,163 328,289 175.8 5,609,446 Mar-2001 $9.50 1,684,817 358,103 176.2 5,240,820 Apr-2001 $9.59 1,624,316 318,573 176.9 5,041,971 May-2001 $10.17 1,681,372 321,878 177.7 5,252,851 Jun-2001 $10.04 1,607,397 317,414 178.0 5,749,464 Jul-2001 $9.56 1,656,620 364,571 177.5 6,192,512 Aug-2001 $9.25 1,656,714 353,338 177.5 6,576,075 Sep-2001 $8.57 1,610,366 314,864 178.3 6,888,848 40 EIA 19
Oct-2001 $7.32 1,675,894 326,114 177.7 7,261,934 Nov-2001 $7.39 1,593,864 291,044 177.4 7,453,778 Dec-2001 $6.83 1,643,859 309,673 176.7 7,554,750 Jan-2002 $6.95 1,618,892 343,481 177.1 7,204,251 Feb-2002 $6.82 1,449,623 305,917 177.8 6,657,016 Mar-2002 $6.69 1,619,570 332,596 178.8 6,193,791 Apr-2002 $7.11 1,565,063 315,116 179.8 5,872,829 May-2002 $7.61 1,628,885 319,404 179.8 6,013,613 Jun-2002 $8.19 1,569,228 318,002 179.9 6,329,453 Jul-2002 $8.47 1,636,448 344,641 180.1 6,663,387 Aug-2002 $8.45 1,603,278 356,013 180.7 6,896,201 Sep-2002 $8.39 1,516,304 335,594 181.0 7,130,055 Oct-2002 $7.63 1,551,787 343,427 181.3 7,384,108 Nov-2002 $7.44 1,555,595 330,544 181.3 7,457,920 Dec-2002 $7.52 1,613,115 370,729 180.9 7,272,705 Jan-2003 $7.83 1,616,551 359,168 181.7 6,715,467 Feb-2003 $8.28 1,469,711 308,804 183.1 5,865,966 Mar-2003 $9.49 1,662,980 324,364 184.2 5,187,077 Apr-2003 $9.58 1,592,310 314,655 183.8 5,055,702 May-2003 $9.75 1,625,900 325,157 183.5 5,210,476 Jun-2003 $10.54 1,574,488 306,878 183.7 5,621,675 Jul-2003 $10.74 1,594,080 340,532 183.9 6,090,298 Aug-2003 $10.62 1,626,469 331,628 184.6 6,450,716 Sep-2003 $10.36 1,566,968 320,676 185.2 6,762,507 Oct-2003 $9.46 1,620,293 331,005 185.0 7,173,311 Nov-2003 $9.07 1,549,049 316,721 184.5 7,456,712 Dec-2003 $9.07 1,599,746 364,161 184.3 7,341,444 Jan-2004 $9.39 1,594,905 373,195 185.2 6,865,772 Feb-2004 $9.48 1,477,801 345,930 186.2 6,051,839 Mar-2004 $9.54 1,605,170 348,992 187.4 5,452,307 Apr-2004 $9.78 1,551,873 325,105 188.0 5,341,885 May-2004 $10.43 1,575,675 326,541 189.1 5,535,291 Jun-2004 $11.40 1,542,230 341,934 189.7 5,910,982 Jul-2004 $11.60 1,589,277 374,651 189.4 6,307,379 Aug-2004 $11.70 1,575,564 360,244 189.5 6,681,153 Sep-2004 $11.29 1,476,771 344,621 189.9 7,004,573 Oct-2004 $10.43 1,543,492 335,533 190.9 7,310,455 Nov-2004 $10.83 1,508,532 368,685 191.0 7,548,214 Dec-2004 $10.76 1,549,599 413,128 190.3 7,479,367 Jan-2005 $10.46 1,557,077 405,016 190.7 6,897,200 Feb-2005 $10.35 1,428,897 356,495 191.8 6,199,291 Mar-2005 $10.38 1,609,208 379,650 193.3 5,768,939 Apr-2005 $11.07 1,539,843 326,147 194.6 5,484,332 May-2005 $11.55 1,575,574 333,997 194.4 5,699,060 Jun-2005 $12.01 1,537,105 321,710 194.5 6,075,521 Jul-2005 $12.72 1,552,062 386,093 195.4 6,398,738 Aug-2005 $13.26 1,544,420 351,805 196.4 6,653,209 Sep-2005 $14.58 1,336,065 345,907 198.8 6,865,103 Oct-2005 $15.37 1,407,287 366,305 199.2 7,136,424 Nov-2005 $15.20 1,444,276 359,387 197.6 7,400,321 Dec-2005 $14.31 1,518,785 408,522 196.8 7,398,295 Jan-2006 $14.54 1,535,797 360,316 198.3 6,835,374 Feb-2006 $13.47 1,383,249 321,045 198.7 6,573,119 Mar-2006 $12.62 1,555,228 348,293 199.8 6,088,735 Apr-2006 $12.42 1,497,231 332,248 201.5 5,888,675 May-2006 $13.01 1,555,948 350,535 202.5 6,143,320 Jun-2006 $13.08 1,538,715 348,095 202.9 6,511,653 Jul-2006 $13.35 1,573,274 370,925 203.5 6,831,985 Aug-2006 $13.69 1,578,728 364,972 203.9 6,993,053 Sep-2006 $13.44 1,541,937 333,514 202.9 7,181,966 Oct-2006 $11.28 1,597,178 334,016 201.8 7,538,548 Nov-2006 $11.75 1,539,917 339,118 201.5 7,669,209 Dec-2006 $12.07 1,606,404 383,205 201.8 7,622,511 Jan-2007 $11.68 1,576,351 393,140 202.4 7,280,906 Feb-2007 $11.68 1,443,746 372,874 203.5 6,599,227 Mar-2007 $12.30 1,624,634 401,779 205.4 5,867,298 20
Apr-2007 $12.41 1,551,743 386,837 206.7 5,849,891 May-2007 $13.10 1,643,202 380,213 207.9 5,968,611 Jun-2007 $14.05 1,589,701 381,470 208.4 6,431,710 Jul-2007 $14.17 1,624,779 418,576 208.3 6,813,786 Aug-2007 $13.95 1,633,874 426,534 207.9 7,123,259 Sep-2007 $13.48 1,597,600 361,383 208.5 7,250,170 Oct-2007 $12.75 1,653,528 347,224 208.9 7,548,786 Nov-2007 $12.14 1,633,438 340,607 210.2 7,803,634 Dec-2007 $11.79 1,693,430 396,945 210.0 7,680,213 Jan-2008 $11.72 1,685,717 389,651 211.1 7,113,475 Feb-2008 $12.04 1,590,851 349,660 211.7 6,288,037 Mar-2008 $12.58 1,722,591 366,810 213.5 5,686,255 Apr-2008 $13.56 1,661,637 322,122 214.8 5,486,589 May-2008 $14.92 1,716,720 297,154 216.6 5,658,650 Jun-2008 $16.80 1,681,469 286,919 218.8 6,064,975 Jul-2008 $18.21 1,769,052 322,810 220.0 6,407,107 Aug-2008 $17.18 1,743,909 328,663 219.1 6,745,390 Sep-2008 $15.77 1,488,620 313,868 218.8 7,093,832 Oct-2008 $13.76 1,675,027 321,328 216.6 7,390,883 Nov-2008 $12.76 1,678,551 320,254 212.4 7,634,355 Dec-2008 $12.23 1,744,458 364,862 210.2 7,577,456 Jan-2009 $11.89 1,781,980 356,749 211.1 7,072,657 Feb-2009 $11.62 1,624,267 321,522 212.2 6,370,028 Mar-2009 $11.22 1,786,351 325,165 212.7 6,000,888 Apr-2009 $10.69 1,698,876 321,848 213.2 5,907,540 May-2009 $11.14 1,756,126 265,793 213.9 6,165,074 Jun-2009 $11.90 1,707,221 281,970 215.7 6,632,164 Jul-2009 $12.51 1,741,332 316,715 215.4 7,028,031 Aug-2009 $12.57 1,755,132 336,848 215.8 7,353,504 Sep-2009 $12.08 1,651,951 307,026 216.0 7,626,392 Oct-2009 $10.36 1,729,056 273,124 216.2 7,921,596 Nov-2009 $10.47 1,674,378 294,918 216.3 8,091,168 Dec-2009 $9.76 1,717,183 349,682 215.9 8,124,989 Jan-2010 $10.11 1,749,918 384,586 216.7 7,406,742 Feb-2010 $10.20 1,610,922 324,124 216.7 6,579,900 Mar-2010 $10.34 1,793,710 318,769 217.6 5,960,953 Apr-2010 $10.76 1,723,457 298,464 218.0 5,929,914 May-2010 $11.31 1,791,023 297,801 218.2 6,289,473 Jun-2010 $12.30 1,711,600 282,260 218.0 6,698,983 Jul-2010 $13.14 1,817,069 328,655 218.0 7,026,700 Aug-2010 $13.31 1,831,717 304,901 218.3 7,253,018 Sep-2010 $12.61 1,784,561 281,518 218.4 7,442,861 Oct-2010 $11.33 1,849,330 294,744 218.7 7,801,450 Nov-2010 $9.87 1,791,886 273,165 218.8 8,155,699 Dec-2010 $9.22 1,877,226 351,773 219.2 8,078,136 Jan-2011 $9.33 1,880,264 370,955 220.2 7,412,447 Feb-2011 $9.52 1,673,744 307,974 221.3 6,613,722 Mar-2011 $9.62 1,921,032 314,261 223.5 6,029,392 Apr-2011 $10.15 1,883,819 278,247 224.9 5,884,081 May-2011 $10.92 1,945,235 270,647 226.0 6,095,796 Jun-2011 $12.10 1,881,173 265,208 225.7 6,495,108 Jul-2011 $12.88 1,944,292 292,538 225.9 6,834,721 Aug-2011 $13.23 1,951,275 279,280 226.5 7,078,626 Sep-2011 $12.65 1,909,958 253,274 226.9 7,323,357 Oct-2011 $10.90 2,008,106 280,862 226.4 7,720,549 Nov-2011 $9.72 1,970,518 247,470 226.2 8,109,439 Dec-2011 $9.09 2,030,761 295,168 225.7 8,144,952 Jan-2012 $8.93 2,041,965 280,710 226.7 7,767,260 Feb-2012 $8.73 1,888,601 269,499 227.7 7,223,101 Mar-2012 $9.43 2,015,925 265,005 229.4 6,761,712 Apr-2012 $9.50 1,961,826 243,018 230.1 6,801,698 May-2012 $10.20 2,032,877 258,192 229.8 6,941,873 Jun-2012 $11.24 1,959,724 259,084 229.5 7,224,581 Jul-2012 $11.81 2,033,839 280,825 229.1 7,455,674 Aug-2012 $12.21 2,022,922 281,305 230.4 7,584,804 21
Figure.1 22
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