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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for February 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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years 16 16 16 17 17 17 17 17 17 17 17
Closed Higher 12 12 10 9 7 10 8 10 8 5 5
Exceeded High 10 12 9 6 2 9 7 8 2 4 3
Scenario Percentage 83% 100% 90% 67% 29% 90% 88% 80% 25% 80% 60%
Avg Max Increase 12.94% 13.72% 12.10% 6.47% 30.94% 18.50% 19.71% 16.41% 38.02% 43.03% 20.24%
Max Increase 31.04% 47.84% 40.31% 13.99% 46.67% 62.28% 27.84% 34.35% 63.61% 61.54% 22.15%
Avg Days To Max Increase 15 19 14 23 16 20 16 21 23 15 11
Avg Max Decline -1.41% -1.88% -2.15% -3.09% -2.89% -3.52% -2.07% -5.34% -4.88% -2.45% 3.87%
Max Decline -4.31% -6.51% -6.85% -5.23% -5.63% -9.57% -5.91% -14.84% -7.41% -9.36% 1.27%
Avg Days to Max Decline 8 8 8 17 9 9 6 13 6 1 4
2007 Contract Condition   Yes Yes   Yes Yes     Yes Yes  
Action   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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years 16 16 16 17 17 17 17 17 17 17 17
Closed Lower 4 4 6 7 9 7 9 7 9 12 12
Penetrated Low   4 5 5 6 6 7 6 7 10 11
Scenario Percentage 0% 100% 83% 71% 67% 86% 78% 86% 78% 83% 92%
Avg Max Decline   9.01% 11.75% 9.51% 8.56% 6.61% 9.69% 9.92% 16.32% 23.97% 24.42%
Max Decline   20.31% 26.74% 17.21% 19.37% 10.02% 29.36% 18.65% 27.37% 41.55% 50.56%
Avg Days To Max Decline   20 19 22 16 14 12 22 23 19 19
Avg Max Increase   -3.58% -2.12% -7.34% -2.49% -3.52% -3.25% -10.56% -6.53% -6.02% -7.69%
Max Increase   -11.49% -6.00% -13.78% -8.56% -8.87% -10.37% -27.12% -25.13% -16.00% -39.28%
Avg Days to Max Increase   11 7 13 13 11 7 16 9 9 8
2007 Contract Condition Yes     Yes     Yes Yes     Yes
Action No     Yes     Yes No     Not Yet
High 12.150 11.230 12.500 11.650 11.170 11.701 12.050 10.760 8.900 9.060 8.799
Low 10.060 10.280 10.645 9.900 10.030 9.870 10.500 7.532 7.615 7.869 6.000
Close/Last 10.435 10.710 11.365 10.096 10.459 11.701 10.663 7.878 8.058 8.894 6.299

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