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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 Dec 30, 2011
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   20 21 21 21 21 21 21 21 21 21 21
Closed Higher   9 12 10 11 5 5 9 10 11 15 9
Exceeded High   4 10 8 8 3 4 8 9 9 15 7
Scenario Percentage   44% 83% 80% 73% 60% 80% 89% 90% 82% 100% 78%
Avg Max Increase   10.50% 13.46% 9.37% 7.86% 9.94% 13.84% 18.12% 18.00% 23.86% 16.70% 16.14%
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   10 20 18 18 16 14 18 21 17 16 15
Avg Max Decline   -1.65% -2.10% -2.21% -4.23% -1.42% -3.77% -1.18% -3.27% -3.45% -4.90% -3.24%
Max Decline   -3.16% -6.78% -4.34% -13.06% -2.96% -10.51% -5.56% -6.29% -8.24% -9.02% -8.56%
Avg Days to Max Decline   11 10 8 8 2 22 7 9 7 7 2
2011 Contract Condition               Yes Yes   Yes Yes
Action               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 Apr
Tested Years   20 21 21 21 21 21 21 21 21 21 21
Closed Lower   11 9 11 10 16 16 12 11 10 6 12
Penetrated Low   8 7 10 9 12 12 11 9 8 6 9
Scenario Percentage   73% 78% 91% 90% 75% 75% 92% 82% 80% 100% 75%
Avg Max Decline   7.89% 9.78% 8.10% 7.54% 11.40% 12.49% 10.67% 11.75% 10.06% 10.82% 7.82%
Max Decline   14.02% 17.20% 22.34% 18.69% 22.17% 31.08% 29.74% 28.30% 26.25% 22.12% 15.87%
Avg Days To Max Decline   17 18 16 25 18 15 15 16 21 17 16
Avg Max Increase   -2.78% -2.38% -1.64% -4.96% -1.52% -2.31% -2.86% -5.45% -4.18% -6.12% -2.86%
Max Increase   -12.48% -5.35% -7.18% -19.06% -6.16% -8.25% -15.44% -11.97% -20.14% -11.59% -8.82%
Avg Days to Max Increase   13 3 10 15 5 7 7 6 20 10 4
2011 Contract Condition   Yes Yes Yes Yes Yes Yes     Yes    
Action   Yes Yes Yes Yes No No     Yes    
High 5.529 5.497 5.249 5.174 4.595 4.414 4.465 4.580 4.850 4.596 4.627 4.705
Low 5.025 5.077 4.945 4.427 4.256 3.942 3.980 4.078 4.363 3.960 3.877 4.056
Close/Last 5.226 5.149 5.099 4.579 4.316 4.257 4.227 4.475 4.513 4.173 4.458 4.698

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