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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 Dec 30, 2011
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 Dec
Tested Years   20 20 20 21 21 21 21 21 21 21 21
Closed Higher   14 14 12 12 8 10 8 12 9 5 8
Exceeded High   12 14 11 9 3 9 7 10 3 4 6
Scenario Percentage   86% 100% 92% 75% 38% 90% 88% 83% 33% 80% 75%
Avg Max Increase   12.88% 13.23% 11.95% 7.80% 21.15% 18.50% 19.71% 14.79% 26.82% 43.03% 15.74%
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 19 11 20 16 19 16 15 13
Avg Max Decline   -1.88% -2.30% -2.20% -2.21% -2.20% -3.52% -2.07% -5.36% -3.48% -2.45% 1.79%
Max Decline   -6.55% -6.55% -6.85% -5.23% -5.63% -9.57% -5.91% -14.84% -7.41% -9.36% -1.88%
Avg Days to Max Decline   9 8 6 12 7 9 6 13 4 1 5
2011 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   20 20 20 21 21 21 21 21 21 21 21
Closed Lower   6 6 8 8 12 11 13 9 12 16 13
Penetrated Low   2 6 6 6 9 10 11 8 9 13 10
Scenario Percentage   33% 100% 75% 75% 75% 91% 85% 89% 75% 81% 77%
Avg Max Decline   11.71% 7.42% 10.24% 10.44% 10.39% 11.34% 11.16% 11.35% 17.50% 21.68% 19.26%
Max Decline   13.86% 20.31% 26.74% 17.21% 19.37% 23.49% 29.36% 21.56% 27.37% 41.55% 30.96%
Avg Days To Max Decline   30 22 20 22 21 15 13 23 21 17 19
Avg Max Increase   -1.67% -4.10% -3.09% -6.50% -2.78% -3.83% -2.32% -8.77% -5.96% -5.10% -1.47%
Max Increase   -2.89% -11.49% -7.98% -13.78% -8.56% -8.87% -10.37% -27.12% -25.13% -16.00% -10.99%
Avg Days to Max Increase   12 17 8 11 17 8 6 13 7 8 5
2011 Contract Condition   Yes Yes Yes   Yes Yes Yes Yes Yes Yes  
Action   Yes Yes Yes   Yes Yes Yes Yes No Not Yet  
High 6.970 6.755 6.130 5.730 5.775 5.861 5.570 5.434 4.678 4.415 4.512 4.635
Low 6.400 6.031 5.256 5.304 5.205 5.325 5.112 4.454 4.246 3.894 3.913 3.985
Close/Last 6.440 6.102 5.378 5.348 5.438 5.397 5.356 4.647 4.313 4.275 4.199 4.405

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