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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years 17 18 19 19 19 19 19 19 19 19 19
Closed Higher 14 13 11 9 10 10 12 9 5 6 9
Exceeded High 14 11 7 4 9 9 9 3 4 6 8
Scenario Percentage 100% 85% 64% 44% 90% 90% 75% 33% 80% 100% 89%
Avg Max Increase 13.27% 12.14% 7.45% 17.84% 16.45% 12.17% 12.27% 21.02% 38.98% 32.67% 16.50%
Max Increase 49.20% 41.19% 14.43% 45.89% 59.17% 24.29% 23.36% 46.56% 57.64% 96.08% 64.14%
Avg Days To Max Increase 19 16 19 16 20 12 15 16 14 14 12
Avg Max Decline -2.40% -1.97% -2.07% -2.22% -3.30% -2.31% -4.56% -3.34% -3.15% -5.04% -4.92%
Max Decline -6.69% -6.93% -6.33% -5.69% -8.69% -5.93% -14.19% -6.98% -13.09% -15.72% -18.55%
Avg Days to Max Decline 8 8 11 5 8 7 12 4 8 6 2
2009 Contract Condition Yes Yes Yes Yes              
Action 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years 17 18 19 19 19 19 19 19 19 19 19
Closed Lower 3 5 8 10 9 9 7 10 14 13 10
Penetrated Low 3 4 6 6 8 8 6 8 12 12 8
Scenario Percentage 100% 80% 75% 60% 89% 89% 86% 80% 86% 92% 80%
Avg Max Decline 7.37% 5.90% 7.85% 9.70% 9.04% 10.85% 10.72% 14.44% 18.78% 19.24% 26.81%
Max Decline 17.90% 12.62% 17.21% 17.79% 23.20% 29.22% 20.59% 25.09% 33.41% 39.26% 61.68%
Avg Days To Max Decline 19 16 18 20 15 13 26 19 20 18 16
Avg Max Increase -5.03% -2.67% -6.57% -3.34% -3.34% -2.88% -9.20% -6.11% -4.50% -4.33% -7.63%
Max Increase -12.76% -5.72% -13.60% -10.34% -8.18% -10.34% -23.13% -26.05% -13.34% -37.04% -22.13%
Avg Days to Max Increase 8 9 12 16 12 9 13 8 8 5 3
2009 Contract Condition         Yes Yes Yes Yes Yes Yes Yes
Action         Yes Yes Yes Yes Yes Yes Yes
High 11.165 12.127 12.825 14.010 14.169 10.311 8.835 8.285 7.548 6.660 6.245
Low 9.630 10.183 11.312 12.591 9.725 8.640 7.714 6.560 6.297 5.282 4.355
Close/Last 10.913 11.600 12.382 13.960 10.044 8.878 7.930 7.051 6.540 5.657 4.417

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