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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, 2010
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 18 19 19 19 20 20 20 20 20 20 20
Closed Higher 12 14 14 13 12 9 10 10 13 8 4
Exceeded High 11 12 14 10 8 4 9 8 11 3 3
Scenario Percentage 92% 86% 100% 77% 67% 44% 90% 80% 85% 38% 75%
Avg Max Increase 11.73% 12.56% 13.09% 14.87% 8.05% 21.48% 19.95% 18.58% 15.95% 29.44% 56.39%
Max Increase 25.04% 31.64% 47.87% 40.48% 14.74% 48.16% 64.91% 28.43% 50.25% 70.50% 84.34%
Avg Days To Max Increase 21 17 19 16 17 14 21 14 18 17 22
Avg Max Decline -2.14% -2.10% -2.39% -1.79% -2.99% -3.09% -3.42% -2.35% -5.32% -3.37% -3.70%
Max Decline -3.69% -6.85% -6.57% -4.41% -6.74% -5.99% -10.22% -6.31% -15.91% -6.78% -11.07%
Avg Days to Max Decline 8 7 9 2 15 8 8 6 9 4 1
2009 Contract Condition Yes Yes Yes Yes Yes Yes          
Action 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 18 19 19 19 20 20 20 20 20 20 20
Closed Lower 5 5 5 6 8 11 10 10 7 12 16
Penetrated Low 5 1 5 5 6 9 9 9 6 10 15
Scenario Percentage 100% 20% 100% 83% 75% 82% 90% 90% 86% 83% 94%
Avg Max Decline 4.31% 10.71% 8.63% 10.77% 10.62% 9.59% 11.00% 11.45% 15.29% 19.12% 19.73%
Max Decline 14.74% 10.71% 20.78% 26.58% 17.81% 21.28% 23.85% 29.96% 23.74% 27.29% 59.16%
Avg Days To Max Decline 9 30 22 20 22 23 14 12 23 17 12
Avg Max Increase -1.56% -3.06% -3.55% -2.47% -6.46% -3.08% -4.85% -3.07% -10.52% -6.79% -8.83%
Max Increase -3.79% -3.06% -11.41% -5.79% -13.60% -8.21% -9.78% -12.23% -25.00% -24.83% -53.30%
Avg Days to Max Increase 3 25 12 12 11 20 8 8 22 9 4
2009 Contract Condition             Yes Yes Yes Yes Yes
Action             Yes Yes Yes Yes Yes
High 9.360 10.603 11.460 12.460 13.218 14.350 14.546 10.610 9.025 8.388 7.586
Low 8.685 8.850 9.866 10.448 11.640 12.680 9.870 8.780 7.767 6.540 6.225
Close/Last 9.165 10.552 11.183 11.930 12.677 14.300 10.199 9.018 8.020 7.053 6.510

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