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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 Dec 31, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   19 20 20 20 21 21 21 21 21 21 21
Closed Higher   12 14 14 13 13 9 10 10 13 8 4
Exceeded High   11 12 14 10 9 4 9 8 11 3 3
Scenario Percentage   92% 86% 100% 77% 69% 44% 90% 80% 85% 38% 75%
Avg Max Increase   11.73% 12.56% 13.09% 14.87% 8.13% 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% -2.91% -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 14 8 8 6 9 4 1
2010 Contract Condition           Yes       Yes    
Action           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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   19 20 20 20 21 21 21 21 21 21 21
Closed Lower   6 6 6 7 8 12 11 11 8 13 17
Penetrated Low   6 2 6 6 6 10 10 10 7 11 14
Scenario Percentage   100% 33% 100% 86% 75% 83% 91% 91% 88% 85% 82%
Avg Max Decline   6.64% 12.29% 7.75% 9.46% 10.62% 10.41% 12.08% 11.99% 14.57% 18.26% 13.27%
Max Decline   18.30% 13.87% 20.78% 26.58% 17.81% 21.28% 23.85% 29.96% 23.74% 27.29% 19.97%
Avg Days To Max Decline   12 30 22 21 22 24 15 13 22 16 17
Avg Max Increase   -2.17% -1.94% -4.20% -3.39% -6.46% -3.10% -4.51% -2.82% -9.41% -6.48% -5.66%
Max Increase   -5.22% -3.06% -11.41% -7.95% -13.60% -8.21% -9.78% -12.23% -25.00% -24.83% -25.37%
Avg Days to Max Increase   4 13 17 12 11 18 8 9 24 9 4
2010 Contract Condition   Yes Yes Yes Yes   Yes Yes Yes   Yes Yes
Action   Yes Yes Yes No   Yes Yes Yes   Yes Yes
High 8.164 7.850 6.800 6.302 6.004 6.439 6.462 5.890 6.127 6.021 6.266 5.448
Low 7.033 6.500 5.895 5.586 5.460 5.548 5.800 5.240 5.090 4.677 5.300 4.560
Close/Last 7.395 6.552 6.115 5.819 5.539 5.901 5.837 5.643 5.128 5.965 5.390 4.848

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