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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years 15 17 17 17 17 17 17 17 17 17 17
Closed Higher 9 9 11 10 10 6 6 5 8 11 14
Exceeded High 7 5 10 7 7 2 5 5 8 9 13
Scenario Percentage 78% 56% 91% 70% 70% 33% 83% 100% 100% 82% 93%
Avg Max Increase 6.97% 11.43% 13.70% 10.31% 7.68% 17.01% 19.52% 24.72% 18.78% 22.31% 10.45%
Max Increase 16.77% 27.44% 41.31% 23.54% 14.89% 22.06% 31.67% 62.43% 43.11% 54.87% 35.33%
Avg Days To Max Increase 22 17 20 19 19 23 17 17 21 12 14
Avg Max Decline -1.95% -2.73% -1.90% -1.86% -4.43% -2.09% -1.95% -1.89% -3.92% -3.55% -3.89%
Max Decline -4.89% -7.32% -6.85% -5.03% -13.36% -3.62% -4.42% -6.21% -7.50% -8.72% -7.77%
Avg Days to Max Decline 10 16 11 4 12 3 3 5 10 7 4
2007 Contract Condition   Yes Yes     Yes Yes   Yes   Yes
Action   Yes Yes     Yes No   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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years 15 17 17 17 17 17 17 17 17 17 17
Closed Lower 6 8 6 7 6 11 11 12 9 6 3
Penetrated Low 3 5 4 6 5 8 9 10 6 4 3
Scenario Percentage 50% 62% 67% 86% 83% 73% 82% 83% 67% 67% 100%
Avg Max Decline 6.07% 6.67% 5.40% 6.23% 5.64% 11.04% 13.02% 12.84% 10.77% 4.74% 35.67%
Max Decline 12.45% 12.50% 8.21% 15.05% 9.47% 16.84% 22.83% 34.01% 29.94% 6.32% 57.41%
Avg Days To Max Decline 22 18 16 15 27 21 19 16 15 16 1
Avg Max Increase -8.60% -3.08% -1.87% -2.61% -6.92% -1.43% -3.31% -2.44% -5.80% -6.79% -11.11%
Max Increase -13.25% -12.65% -3.75% -6.61% -20.13% -3.01% -9.12% -16.97% -13.73% -11.73% -15.22%
Avg Days to Max Increase 15 15 4 11 21 7 9 6 4 14 15
2007 Contract Condition Yes     Yes Yes     Yes   Yes  
Action No     Yes No     No   Yes  
High 9.338 8.560 8.666 8.923 8.400 7.980 8.319 8.220 7.900 8.032 7.830
Low 7.850 7.896 7.920 8.020 6.960 7.156 7.390 6.412 6.415 7.222 6.937
Close/Last 8.001 8.184 8.666 8.193 7.203 7.431 8.284 6.703 7.690 7.405 7.730

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