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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, 2010
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 18 18 18 19 19 19 19 19 19 19 19
Closed Higher 14 14 12 10 8 10 8 11 9 5 6
Exceeded High 12 14 11 7 3 9 7 9 3 4 4
Scenario Percentage 86% 100% 92% 70% 38% 90% 88% 82% 33% 80% 67%
Avg Max Increase 12.88% 13.23% 11.95% 7.61% 21.15% 18.50% 19.71% 15.86% 26.82% 43.03% 18.52%
Max Increase 31.04% 47.84% 40.31% 14.47% 46.67% 62.28% 27.84% 34.35% 63.61% 61.54% 22.15%
Avg Days To Max Increase 16 19 16 20 11 20 16 19 16 15 12
Avg Max Decline -1.88% -2.30% -2.20% -2.43% -2.20% -3.52% -2.07% -5.21% -3.48% -2.45% 2.96%
Max Decline -6.55% -6.55% -6.85% -5.23% -5.63% -9.57% -5.91% -14.84% -7.41% -9.36% 0.23%
Avg Days to Max Decline 9 8 6 15 7 9 6 14 4 1 4
2009 Contract Condition Yes Yes Yes Yes Yes            
Action 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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years 18 18 18 19 19 19 19 19 19 19 19
Closed Lower 4 4 6 8 10 9 11 8 10 14 13
Penetrated Low   4 5 6 7 8 9 7 8 12 12
Scenario Percentage 0% 100% 83% 75% 70% 89% 82% 88% 80% 86% 92%
Avg Max Decline   9.01% 11.75% 10.44% 9.15% 9.49% 10.86% 11.58% 17.56% 22.78% 23.78%
Max Decline   20.31% 26.74% 17.21% 19.37% 23.49% 29.36% 21.56% 27.37% 41.55% 50.56%
Avg Days To Max Decline   20 19 22 18 15 13 23 23 18 19
Avg Max Increase   -3.58% -2.12% -6.50% -2.51% -3.63% -2.74% -9.69% -6.59% -5.47% -7.97%
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 11 18 10 6 14 8 9 8
2009 Contract Condition           Yes Yes Yes Yes Yes Yes
Action           Yes Yes Yes Yes Yes Yes
High 10.570 11.407 12.400 13.050 14.280 14.460 10.485 9.000 8.412 7.610 6.711
Low 8.861 9.865 10.422 11.601 12.827 9.882 8.820 7.807 6.600 6.318 5.245
Close/Last 10.517 11.153 11.885 12.632 14.238 10.204 9.038 8.055 7.114 6.570 5.622

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