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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 Dec 31, 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 Mar
Tested Years   18 20 20 20 20 20 20 20 20 20 20
Closed Higher   12 10 12 10 12 7 6 7 9 12 15
Exceeded High   10 6 11 7 9 3 5 7 9 10 14
Scenario Percentage   83% 60% 92% 70% 75% 43% 83% 100% 100% 83% 93%
Avg Max Increase   7.43% 9.82% 12.68% 10.31% 7.50% 12.07% 19.52% 22.31% 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   19 14 20 19 17 16 17 17 20 13 15
Avg Max Decline   -1.51% -2.33% -2.04% -1.86% -4.40% -1.62% -1.95% -1.27% -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   9 14 10 4 12 2 3 5 9 8 4
2010 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 Mar
Tested Years   18 20 20 20 20 20 20 20 20 20 20
Closed Lower   6 10 8 10 7 13 14 13 11 8 5
Penetrated Low   3 7 6 9 6 10 12 11 8 6 4
Scenario Percentage   50% 70% 75% 90% 86% 77% 86% 85% 73% 75% 80%
Avg Max Decline   6.07% 7.13% 8.80% 7.63% 7.87% 12.59% 13.31% 14.48% 13.84% 11.19% 6.43%
Max Decline   12.45% 12.50% 17.78% 22.61% 19.01% 22.58% 31.56% 34.01% 29.94% 26.25% 16.45%
Avg Days To Max Decline   22 18 16 15 27 19 17 17 19 15 14
Avg Max Increase   -8.60% -2.91% -2.69% -2.13% -6.41% -1.68% -2.63% -3.04% -6.78% -6.56% -6.19%
Max Increase   -13.25% -12.65% -5.64% -6.61% -20.13% -6.09% -9.12% -16.97% -13.73% -11.73% -11.84%
Avg Days to Max Increase   15 17 3 8 18 6 7 6 5 12 3
2010 Contract Condition     Yes Yes Yes   Yes Yes   Yes Yes Yes
Action     Yes Yes Yes   Yes Yes   Yes Yes Yes
High 5.785 6.230 6.300 5.798 5.941 5.976 6.200 5.440 5.953 5.956 5.683 4.931
Low 5.395 5.463 5.705 5.240 5.250 4.869 5.402 4.805 4.656 5.110 4.803 3.847
Close/Last 5.441 5.816 5.745 5.624 5.268 5.944 5.482 5.094 5.545 5.171 4.879 3.869

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