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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Natural Gas(NYM) as of Jan 01, 2013
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   21 22 22 22 22 23 23 23 23 23 23
Closed Higher   10 11 14 15 15 12 9 12 11 13 8
Exceeded High   7 10 12 15 13 7 5 10 9 11 2
Scenario Percentage   70% 91% 86% 100% 87% 58% 56% 83% 82% 85% 25%
Avg Max Increase   13.70% 12.77% 13.14% 12.84% 12.45% 9.73% 16.36% 19.77% 17.94% 17.55% 26.52%
Max Increase   32.50% 25.43% 34.97% 48.25% 40.77% 15.24% 52.45% 67.45% 32.88% 69.88% 48.46%
Avg Days To Max Increase   21 25 19 18 15 18 13 20 13 17 11
Avg Max Decline   -1.13% -2.11% -2.16% -2.73% -2.67% -2.56% -2.56% -4.43% -2.45% -5.46% -4.22%
Max Decline   -3.50% -3.30% -6.82% -6.82% -9.58% -5.95% -7.11% -13.32% -7.45% -17.06% -7.26%
Avg Days to Max Decline   6 8 5 9 7 10 7 8 7 7 3
2012 Contract Condition       Yes   Yes   Yes Yes   Yes Yes
Action       No   Yes   Yes No   Yes 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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   21 22 22 22 22 23 23 23 23 23 23
Closed Lower   11 11 8 7 7 11 14 11 12 10 15
Penetrated Low   9 8 4 7 6 9 12 10 11 9 11
Scenario Percentage   82% 73% 50% 100% 86% 82% 86% 91% 92% 90% 73%
Avg Max Decline   7.65% 9.40% 11.04% 8.07% 10.44% 10.96% 10.99% 12.49% 14.04% 15.04% 10.80%
Max Decline   21.07% 18.72% 14.25% 21.83% 28.01% 19.21% 23.07% 24.65% 30.31% 29.25% 18.72%
Avg Days To Max Decline   15 17 22 22 21 23 23 15 15 19 17
Avg Max Increase   -2.17% -3.94% -1.56% -4.13% -3.66% -6.01% -2.60% -4.89% -2.13% -9.02% -4.39%
Max Increase   -7.66% -8.82% -3.52% -11.38% -8.62% -14.34% -7.63% -10.56% -5.16% -31.20% -16.04%
Avg Days to Max Increase   9 8 5 15 17 14 15 8 7 17 4
2012 Contract Condition   Yes Yes   Yes   Yes     Yes    
Action   Yes Yes   Yes   Yes     No    
High 4.600 4.341 3.843 3.667 3.405 3.276 3.479 3.464 3.631 3.594 3.627 3.970
Low 4.135 3.730 3.181 3.265 3.120 2.909 3.087 2.962 3.250 3.055 3.055 3.609
Close/Last 4.252 3.757 3.376 3.413 3.181 3.182 3.156 3.355 3.579 3.220 3.615 3.692

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