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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Natural Gas(NYM) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years 15 16 17 17 17 17 17 17 17 17 17
Closed Higher 12 11 10 8 10 10 11 8 5 5 8
Exceeded High 12 9 6 3 9 9 8 2 4 5 7
Scenario Percentage 100% 82% 60% 38% 90% 90% 73% 25% 80% 100% 88%
Avg Max Increase 13.71% 12.22% 6.28% 23.29% 16.45% 12.17% 12.44% 29.46% 38.98% 46.14% 23.67%
Max Increase 49.20% 41.19% 14.22% 45.89% 59.17% 24.29% 23.36% 46.56% 57.64% 153.60% 112.29%
Avg Days To Max Increase 19 15 22 20 20 12 17 23 14 13 11
Avg Max Decline -1.97% -1.88% -2.69% -2.61% -3.30% -2.31% -4.60% -4.67% -3.15% -6.06% -4.74%
Max Decline -5.98% -6.93% -6.33% -5.69% -8.69% -5.93% -14.19% -6.98% -13.09% -15.72% -18.55%
Avg Days to Max Decline 7 10 13 7 8 7 11 6 8 6 2
2007 Contract Condition Yes Yes   Yes Yes     Yes Yes   Yes
Action Yes No   Yes Yes     Yes No   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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years 15 16 17 17 17 17 17 17 17 17 17
Closed Lower 3 5 7 9 7 7 6 9 12 12 9
Penetrated Low 3 4 5 5 6 6 5 7 10 11 7
Scenario Percentage 100% 80% 71% 56% 86% 86% 83% 78% 83% 92% 78%
Avg Max Decline 7.37% 5.90% 6.25% 9.19% 6.01% 9.62% 8.75% 12.91% 18.77% 18.20% 29.04%
Max Decline 17.90% 12.62% 17.21% 17.79% 8.94% 29.22% 14.82% 21.62% 29.97% 39.26% 61.68%
Avg Days To Max Decline 19 16 17 18 14 12 25 19 19 18 16
Avg Max Increase -5.03% -2.67% -7.43% -3.38% -3.27% -3.53% -10.14% -5.98% -4.82% -3.78% -7.22%
Max Increase -12.76% -5.72% -13.60% -10.34% -8.18% -10.34% -23.13% -26.05% -13.34% -37.04% -22.13%
Avg Days to Max Increase 8 9 14 15 14 8 16 8 8 5 3
2007 Contract Condition     Yes     Yes Yes     Yes  
Action     Yes     Yes No     Yes  
High 11.030 12.300 11.445 10.960 11.461 11.823 10.600 8.695 8.920 8.670 7.966
Low 10.060 10.520 9.750 9.860 9.680 10.240 7.420 7.510 7.750 6.204 6.190
Close/Last 10.525 11.168 9.916 10.264 11.461 10.483 7.733 7.938 8.744 6.503 7.667

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