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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Natural Gas(NYM) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 16 17 17 17 18 18 18 18 18 18 18
Closed Higher 11 13 13 12 10 8 10 10 12 8 4
Exceeded High 10 11 13 9 6 3 9 8 10 3 3
Scenario Percentage 91% 85% 100% 75% 60% 38% 90% 80% 83% 38% 75%
Avg Max Increase 10.40% 12.09% 12.70% 14.27% 6.69% 28.06% 19.95% 18.58% 17.04% 29.44% 55.63%
Max Increase 24.83% 31.64% 47.87% 40.48% 14.63% 48.16% 64.91% 28.43% 50.25% 70.50% 84.34%
Avg Days To Max Increase 22 16 19 15 20 19 21 14 18 17 22
Avg Max Decline -2.01% -1.67% -2.07% -1.71% -3.70% -3.75% -3.42% -2.35% -5.09% -3.37% -3.70%
Max Decline -3.69% -4.73% -6.57% -4.41% -6.74% -5.99% -10.22% -6.31% -15.91% -6.78% -11.07%
Avg Days to Max Decline 9 6 10 3 20 10 8 6 10 4 1
2007 Contract Condition Yes   Yes Yes   Yes Yes     Yes Yes
Action Yes   Yes No   Yes Yes     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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 16 17 17 17 18 18 18 18 18 18 18
Closed Lower 4 4 4 5 8 10 8 8 6 10 14
Penetrated Low 4   4 5 6 8 7 7 5 8 13
Scenario Percentage 100% 0% 100% 100% 75% 80% 88% 88% 83% 80% 93%
Avg Max Decline 1.70%   9.24% 10.77% 10.62% 9.19% 8.30% 9.53% 13.87% 17.88% 20.46%
Max Decline 4.35%   20.78% 26.58% 17.81% 21.28% 13.03% 29.96% 23.74% 26.88% 59.16%
Avg Days To Max Decline 7   20 20 22 22 13 11 25 16 9
Avg Max Increase -1.00%   -3.64% -2.47% -6.46% -2.85% -4.44% -3.88% -11.71% -5.04% -9.92%
Max Increase -1.59%   -11.41% -5.79% -13.60% -8.21% -9.78% -12.23% -25.00% -11.72% -53.30%
Avg Days to Max Increase 1   11 12 11 19 10 8 26 7 5
2007 Contract Condition   Yes     Yes     Yes Yes    
Action   No     Yes     Yes No    
High 12.040 12.150 11.250 12.530 11.650 11.150 11.700 12.068 10.750 8.874 9.050
Low 10.930 10.030 10.260 10.710 9.900 10.020 9.800 10.490 7.444 7.530 7.801
Close/Last 11.881 10.430 10.715 11.358 10.086 10.424 11.691 10.628 7.800 7.998 8.844

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