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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Natural Gas(NYM) as of Jan 01, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 18 19 19 19 19 19 19 19 19 19 20
Closed Higher 11 10 10 6 5 7 10 12 14 11 10
Exceeded High 9 8 7 4 4 6 10 10 14 10 6
Scenario Percentage 82% 80% 70% 67% 80% 86% 100% 83% 100% 91% 60%
Avg Max Increase 14.06% 9.42% 8.22% 7.21% 12.29% 20.55% 16.54% 21.20% 17.23% 16.62% 7.85%
Max Increase 40.16% 22.45% 15.07% 13.68% 26.86% 45.30% 32.40% 51.42% 53.57% 45.35% 14.07%
Avg Days To Max Increase 20 18 18 13 14 20 24 18 18 13 12
Avg Max Decline -2.29% -2.21% -4.12% -0.96% -4.23% -0.81% -3.32% -3.01% -4.65% -4.64% -3.14%
Max Decline -6.37% -4.34% -12.87% -2.81% -11.21% -5.20% -6.30% -7.01% -8.29% -14.73% -12.76%
Avg Days to Max Decline 11 8 9 2 16 8 9 9 11 7 2
2009 Contract Condition                     Yes
Action                     Not Yet
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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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 18 19 19 19 19 19 19 19 19 19 20
Closed Lower 7 9 7 12 14 12 9 6 5 8 10
Penetrated Low 6 9 6 8 11 10 6 3 5 6 10
Scenario Percentage 86% 100% 86% 67% 79% 83% 67% 50% 100% 75% 100%
Avg Max Decline 6.84% 6.66% 7.26% 11.43% 12.14% 10.55% 11.51% 12.19% 14.32% 15.36% 18.81%
Max Decline 16.71% 21.80% 18.48% 21.82% 30.46% 28.87% 26.72% 25.30% 28.35% 28.02% 41.75%
Avg Days To Max Decline 21 15 28 20 15 19 21 25 22 18 15
Avg Max Increase -1.95% -1.57% -6.14% -1.67% -2.48% -2.66% -5.58% -9.37% -4.43% -4.27% -8.57%
Max Increase -3.24% -3.76% -19.21% -5.86% -7.26% -12.14% -11.88% -20.94% -11.28% -10.19% -24.08%
Avg Days to Max Increase 4 14 18 4 8 6 7 27 6 8 9
2009 Contract Condition Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes  
Action Yes Yes Yes Yes Yes Yes Yes Yes Yes Not Yet  
High 11.981 9.739 8.594 8.352 7.708 6.892 6.521 5.280 4.721 4.207 4.690
Low 9.040 8.600 7.895 6.825 6.583 5.692 4.731 4.290 3.930 3.395 3.500
Close/Last 9.479 8.728 8.075 7.281 6.803 6.031 4.819 4.545 4.061 3.515 3.835

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