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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 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   19 21 21 21 21 21 21 21 21 21 21
Closed Higher   12 14 10 11 10 13 7 5 8 10 11
Exceeded High   9 10 6 9 8 10 3 4 7 9 9
Scenario Percentage   75% 71% 60% 82% 80% 77% 43% 80% 88% 90% 82%
Avg Max Increase   12.79% 6.43% 9.82% 12.55% 10.06% 8.30% 15.55% 29.33% 27.65% 23.45% 16.19%
Max Increase   40.87% 14.45% 30.16% 44.89% 22.81% 17.16% 32.21% 36.90% 91.38% 61.63% 51.04%
Avg Days To Max Increase   13 17 14 19 16 16 16 22 21 15 19
Avg Max Decline   -1.28% -1.72% -1.71% -2.44% -2.44% -4.45% -2.48% -2.39% -2.96% -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   2 10 9 12 4 12 4 3 8 4 4
2011 Contract Condition   Yes Yes             Yes Yes  
Action   Yes No             Yes Not Yet  
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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   19 21 21 21 21 21 21 21 21 21 21
Closed Lower   6 7 11 10 11 8 14 16 13 11 10
Penetrated Low   3 2 7 7 10 7 11 13 11 10 8
Scenario Percentage   50% 29% 64% 70% 91% 88% 79% 81% 85% 91% 80%
Avg Max Decline   3.50% 9.57% 8.78% 10.60% 8.79% 9.41% 12.35% 15.07% 16.56% 12.59% 9.26%
Max Decline   5.13% 14.17% 14.58% 19.01% 23.69% 19.10% 23.08% 32.14% 36.48% 31.64% 19.74%
Avg Days To Max Decline   19 21 21 15 13 27 19 17 18 20 18
Avg Max Increase   -2.09% -11.61% -3.78% -2.52% -1.98% -6.16% -1.97% -3.86% -3.80% -7.76% -3.72%
Max Increase   -5.58% -12.86% -13.78% -5.75% -7.55% -21.08% -6.65% -11.97% -23.19% -15.47% -12.03%
Avg Days to Max Increase   8 18 15 2 8 13 3 6 5 7 5
2011 Contract Condition       Yes Yes Yes Yes Yes Yes     Yes
Action       Yes Yes Yes Yes No No     Yes
High 5.625 5.402 5.484 5.393 5.213 5.116 4.530 4.315 4.408 4.557 4.800 4.507
Low 4.938 4.974 4.940 5.018 4.882 4.337 4.159 3.848 3.879 3.980 4.274 3.822
Close/Last 5.080 5.092 5.151 5.077 5.058 4.500 4.220 4.184 4.142 4.401 4.431 4.037

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