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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   17 18 18 18 18 18 18 18 18 18 18
Closed Higher   8 12 10 10 5 5 7 9 11 14 8
Exceeded High   3 10 8 7 3 4 6 9 9 14 6
Scenario Percentage   38% 83% 80% 70% 60% 80% 86% 100% 82% 100% 75%
Avg Max Increase   13.46% 13.46% 9.37% 8.39% 9.94% 13.84% 21.59% 18.00% 23.86% 17.55% 18.93%
Max Increase   27.75% 40.81% 22.49% 14.62% 16.75% 26.34% 49.02% 34.72% 54.16% 52.28% 43.27%
Avg Days To Max Increase   12 20 18 18 16 14 19 21 17 18 18
Avg Max Decline   -1.99% -2.10% -2.21% -4.06% -1.42% -3.77% -1.31% -3.27% -3.45% -4.60% -3.56%
Max Decline   -3.16% -6.78% -4.34% -13.06% -2.96% -10.51% -5.56% -6.29% -8.24% -7.68% -8.56%
Avg Days to Max Decline   15 10 8 9 2 22 8 9 7 7 2
2008 Contract Condition     Yes   Yes Yes   Yes Yes Yes Yes Yes
Action     No   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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   17 18 18 18 18 18 18 18 18 18 18
Closed Lower   9 6 8 8 13 13 11 9 7 4 10
Penetrated Low   6 4 7 7 10 10 10 7 5 4 8
Scenario Percentage   67% 67% 88% 88% 77% 77% 91% 78% 71% 100% 80%
Avg Max Decline   6.77% 5.40% 5.30% 5.79% 9.98% 11.03% 8.77% 8.76% 5.09% 11.29% 8.59%
Max Decline   12.48% 8.08% 14.69% 9.00% 15.87% 20.85% 15.95% 28.30% 8.27% 22.12% 15.87%
Avg Days To Max Decline   16 16 15 24 19 16 14 12 21 17 18
Avg Max Increase   -3.27% -1.79% -2.43% -5.54% -1.21% -2.63% -2.28% -4.28% -5.53% -5.10% -2.64%
Max Increase   -12.48% -3.50% -7.18% -19.06% -2.68% -8.25% -15.44% -11.97% -20.14% -11.59% -8.82%
Avg Days to Max Increase   18 4 9 18 5 8 8 5 28 7 4
2008 Contract Condition   Yes   Yes     Yes          
Action   Yes   Yes     Yes          
High 8.482 8.650 8.270 8.240 7.815 8.215 8.376 7.735 8.399 9.573 10.431 11.465
Low 8.200 7.836 7.609 7.314 7.294 7.484 7.355 7.210 7.684 7.800 8.842 9.395
Close/Last 8.395 7.933 8.064 7.355 7.678 8.204 7.363 7.703 8.203 9.477 10.177 10.843

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