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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, 2009
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 Mar
Tested Years   16 18 18 18 18 18 18 18 18 18 18
Closed Higher   10 9 12 10 11 7 6 6 9 12 15
Exceeded High   8 5 11 7 8 3 5 6 9 10 14
Scenario Percentage   80% 56% 92% 70% 73% 43% 83% 100% 100% 83% 93%
Avg Max Increase   6.46% 11.43% 12.68% 10.31% 7.89% 12.07% 19.52% 24.80% 19.75% 21.73% 10.80%
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   21 17 20 19 17 16 17 19 20 13 15
Avg Max Decline   -1.83% -2.73% -2.04% -1.86% -4.23% -1.62% -1.95% -1.63% -4.07% -3.97% -4.19%
Max Decline   -4.89% -7.32% -6.85% -5.03% -13.36% -3.62% -4.42% -6.21% -7.50% -8.72% -8.03%
Avg Days to Max Decline   10 16 10 4 13 2 3 5 9 8 4
2008 Contract Condition   Yes   Yes   Yes Yes   Yes Yes Yes Yes
Action   Yes   Yes   Yes Yes   Yes 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 Mar
Tested Years   16 18 18 18 18 18 18 18 18 18 18
Closed Lower   6 9 6 8 6 11 12 12 9 6 3
Penetrated Low   3 6 4 7 5 8 10 10 6 4 2
Scenario Percentage   50% 67% 67% 88% 83% 73% 83% 83% 67% 67% 67%
Avg Max Decline   6.07% 6.85% 5.40% 5.50% 5.64% 11.04% 11.95% 12.84% 10.77% 4.74% 3.87%
Max Decline   12.45% 12.50% 8.21% 15.05% 9.47% 16.84% 22.83% 34.01% 29.94% 6.32% 3.88%
Avg Days To Max Decline   22 19 16 14 27 21 17 16 15 16 15
Avg Max Increase   -8.60% -3.24% -1.87% -2.64% -6.92% -1.43% -2.98% -2.44% -5.80% -6.79% -6.96%
Max Increase   -13.25% -12.65% -3.75% -6.61% -20.13% -3.01% -9.12% -16.97% -13.73% -11.73% -11.84%
Avg Days to Max Increase   15 20 4 10 21 7 8 6 4 14 5
2008 Contract Condition     Yes   Yes     Yes        
Action     Yes   Yes     Yes        
High 8.270 8.469 8.550 8.127 8.166 7.696 8.164 8.318 7.639 8.332 9.529 10.365
Low 7.816 7.980 7.725 7.531 7.240 7.190 7.394 7.260 7.100 7.591 7.700 8.750
Close/Last 8.219 8.309 7.848 7.969 7.270 7.605 8.139 7.269 7.613 8.125 9.417 10.101

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