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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for April Natural Gas(NYM) as of Jan 01, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 17 19 19 19 19 19 19 19 19 19 19
Closed Higher 11 12 10 11 10 12 7 5 6 9 11
Exceeded High 8 9 6 9 8 9 3 4 6 9 9
Scenario Percentage 73% 75% 60% 82% 80% 75% 43% 80% 100% 100% 82%
Avg Max Increase 13.42% 6.21% 9.82% 12.55% 10.06% 8.71% 15.55% 29.33% 30.74% 23.11% 15.86%
Max Increase 40.87% 14.45% 30.16% 44.89% 22.81% 17.16% 32.21% 36.90% 91.38% 61.63% 51.04%
Avg Days To Max Increase 13 17 14 19 16 16 16 22 21 14 18
Avg Max Decline -1.45% -1.78% -1.71% -2.44% -2.44% -4.28% -2.48% -2.39% -3.01% -3.88% -3.61%
Max Decline -3.57% -4.92% -3.92% -7.28% -6.23% -13.58% -5.63% -5.51% -10.03% -9.15% -10.23%
Avg Days to Max Decline 2 11 9 12 4 14 4 3 8 4 4
2009 Contract Condition Yes Yes Yes                
Action 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 17 19 19 19 19 19 19 19 19 19 19
Closed Lower 5 7 9 8 9 7 12 14 13 10 8
Penetrated Low 3 2 5 5 8 6 10 12 11 9 6
Scenario Percentage 60% 29% 56% 62% 89% 86% 83% 86% 85% 90% 75%
Avg Max Decline 3.50% 9.57% 7.52% 8.44% 8.15% 9.51% 12.06% 15.61% 16.56% 11.08% 26.08%
Max Decline 5.13% 14.17% 14.07% 19.01% 23.69% 19.10% 23.08% 32.14% 36.48% 31.64% 59.70%
Avg Days To Max Decline 19 21 22 14 12 27 20 18 18 18 7
Avg Max Increase -2.09% -11.61% -4.56% -2.14% -2.36% -6.81% -2.11% -4.16% -3.80% -7.50% -5.93%
Max Increase -5.58% -12.86% -13.78% -4.62% -7.55% -21.08% -6.65% -11.97% -23.19% -15.47% -12.03%
Avg Days to Max Increase 8 18 19 2 8 14 3 7 5 7 8
2009 Contract Condition       Yes Yes Yes Yes Yes Yes Yes Yes
Action       Yes Yes Yes Yes Yes Yes Yes Yes
High 10.133 10.891 11.842 12.002 9.624 8.500 8.095 7.445 6.640 6.267 4.922
Low 8.671 9.600 10.576 9.001 8.392 7.580 6.500 6.290 5.370 4.428 3.916
Close/Last 9.770 10.487 11.800 9.359 8.518 7.775 6.981 6.525 5.725 4.489 4.198

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