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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 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 18 20 20 20 20 20 20 20 20 20 20
Closed Higher 11 13 10 11 10 13 7 5 7 9 11
Exceeded High 8 10 6 9 8 10 3 4 6 9 9
Scenario Percentage 73% 77% 60% 82% 80% 77% 43% 80% 86% 100% 82%
Avg Max Increase 13.36% 6.39% 9.82% 12.55% 10.06% 8.25% 15.55% 29.33% 30.23% 23.16% 16.19%
Max Increase 40.87% 14.45% 30.16% 44.89% 22.81% 16.70% 32.21% 36.90% 88.30% 59.03% 51.04%
Avg Days To Max Increase 13 17 14 19 16 16 16 22 21 16 19
Avg Max Decline -1.45% -1.65% -1.71% -2.44% -2.44% -4.34% -2.48% -2.35% -2.86% -3.88% -3.51%
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    
Action Yes No             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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 18 20 20 20 20 20 20 20 20 20 20
Closed Lower 6 7 10 9 10 7 13 15 13 11 9
Penetrated Low 3 2 6 6 9 6 11 13 11 10 7
Scenario Percentage 50% 29% 60% 67% 90% 86% 85% 87% 85% 91% 78%
Avg Max Decline 3.50% 9.57% 7.82% 9.40% 8.15% 9.51% 12.35% 15.07% 16.56% 12.59% 25.42%
Max Decline 5.13% 14.17% 14.07% 19.01% 23.69% 19.10% 23.08% 32.14% 36.48% 31.64% 59.70%
Avg Days To Max Decline 19 21 20 12 11 27 19 17 18 20 11
Avg Max Increase -2.09% -11.61% -3.93% -2.74% -2.08% -6.81% -1.95% -3.85% -3.70% -7.76% -6.51%
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 16 2 8 14 3 6 5 7 15
2011 Contract Condition     Yes Yes Yes Yes Yes Yes      
Action     Yes Yes Yes Yes No Not Yet      
High 5.402 5.484 5.393 5.213 5.116 4.530 4.315 4.408 4.557    
Low 4.974 4.940 5.018 4.882 4.337 4.159 3.848 3.879 3.980    
Close/Last 5.092 5.151 5.077 5.058 4.500 4.220 4.184 4.142 4.401    

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