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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for April Natural Gas(NYM) as of Jan 01, 2009
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 Feb
Tested Years   16 18 18 18 18 18 18 18 18 18 18
Closed Higher   10 11 9 11 10 12 7 5 6 9 11
Exceeded High   7 8 5 9 8 9 3 4 6 9 9
Scenario Percentage   70% 73% 56% 82% 80% 75% 43% 80% 100% 100% 82%
Avg Max Increase   12.31% 5.18% 11.44% 12.55% 10.06% 8.71% 15.55% 29.33% 30.74% 23.11% 15.86%
Max Increase   40.87% 12.56% 30.16% 44.89% 22.81% 17.16% 32.21% 36.90% 91.38% 61.63% 51.04%
Avg Days To Max Increase   11 19 16 19 16 16 16 22 21 14 18
Avg Max Decline   -1.41% -2.11% -1.96% -2.44% -2.44% -4.28% -2.48% -2.39% -3.01% -3.88% -3.61%
Max Decline   -3.57% -4.92% -3.92% -7.28% -6.23% -13.58% -5.63% -5.51% -10.03% -9.15% -10.23%
Avg Days to Max Decline   3 12 10 12 4 14 4 3 8 4 4
2008 Contract Condition   Yes Yes   Yes   Yes Yes   Yes Yes Yes
Action   Yes Yes   No   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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   16 18 18 18 18 18 18 18 18 18 18
Closed Lower   5 7 9 7 8 6 11 13 12 9 7
Penetrated Low   3 2 5 4 7 5 9 11 10 8 5
Scenario Percentage   60% 29% 56% 57% 88% 83% 82% 85% 83% 89% 71%
Avg Max Decline   3.50% 9.57% 7.52% 5.79% 5.93% 7.59% 10.84% 14.10% 15.06% 10.19% 6.51%
Max Decline   5.13% 14.17% 14.07% 8.44% 16.34% 10.63% 18.45% 25.34% 36.48% 31.64% 12.14%
Avg Days To Max Decline   19 21 22 10 10 27 20 17 18 18 18
Avg Max Increase   -2.09% -11.61% -4.56% -1.97% -2.73% -7.35% -1.61% -4.38% -3.24% -7.23% -4.55%
Max Increase   -5.58% -12.86% -13.78% -4.62% -7.55% -21.08% -4.78% -11.97% -23.19% -15.47% -12.03%
Avg Days to Max Increase   8 18 19 2 7 17 3 7 5 7 5
2008 Contract Condition       Yes   Yes     Yes      
Action       Yes   Yes     Yes      
High 8.130 8.398 8.590 8.651 8.230 8.150 7.750 8.133 8.300 7.580 8.312 9.498
Low 7.633 7.936 8.176 7.800 7.490 7.230 7.170 7.360 7.190 7.030 7.541 7.630
Close/Last 8.095 8.351 8.405 7.919 7.989 7.248 7.580 8.109 7.202 7.546 8.074 9.366

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