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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 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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   18 19 20 20 20 20 20 20 20 20 20
Closed Higher   14 13 12 9 10 10 13 9 5 7 9
Exceeded High   14 11 8 4 9 9 10 3 4 7 8
Scenario Percentage   100% 85% 67% 44% 90% 90% 77% 33% 80% 100% 89%
Avg Max Increase   13.27% 12.14% 7.60% 17.84% 16.45% 12.17% 11.56% 21.02% 38.98% 21.67% 10.92%
Max Increase   49.20% 41.19% 14.43% 45.89% 59.17% 24.29% 23.36% 46.56% 57.64% 42.80% 22.10%
Avg Days To Max Increase   19 16 19 16 20 12 16 16 14 13 12
Avg Max Decline   -2.40% -1.97% -2.04% -2.22% -3.30% -2.31% -4.76% -3.34% -3.15% -4.21% -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 10 5 8 7 11 4 8 6 2
2010 Contract Condition       Yes       Yes     Yes  
Action       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 Jan
Tested Years   18 19 20 20 20 20 20 20 20 20 20
Closed Lower   4 6 8 11 10 10 7 11 15 13 11
Penetrated Low   4 4 6 7 9 9 6 9 13 12 9
Scenario Percentage   100% 67% 75% 64% 90% 90% 86% 82% 87% 92% 82%
Avg Max Decline   6.77% 5.90% 7.85% 9.88% 9.80% 10.64% 10.72% 14.62% 18.01% 18.46% 11.42%
Max Decline   17.90% 12.62% 17.21% 17.79% 23.20% 29.22% 20.59% 25.09% 33.41% 38.59% 25.13%
Avg Days To Max Decline   22 16 18 22 14 12 26 17 19 17 19
Avg Max Increase   -4.61% -2.67% -6.57% -3.59% -3.90% -2.59% -9.20% -5.54% -4.20% -4.33% -7.97%
Max Increase   -12.76% -5.72% -13.60% -10.34% -8.44% -10.34% -23.13% -26.05% -13.34% -37.04% -22.13%
Avg Days to Max Increase   10 9 12 19 11 8 13 7 7 5 4
2010 Contract Condition   Yes Yes   Yes Yes Yes   Yes Yes   Yes
Action   Yes No   Yes Yes Yes   Yes Yes   Yes
High 6.627 6.176 5.950 6.398 6.410 5.873 6.106 5.999 6.242 5.477 5.992 6.027
Low 5.819 5.481 5.470 5.545 5.777 5.230 5.171 4.733 5.339 4.696 4.550 5.060
Close/Last 6.005 5.756 5.539 5.896 5.810 5.631 5.198 5.937 5.425 4.989 5.532 5.131

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