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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, 2013
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   20 22 22 22 22 22 22 22 22 22 22
Closed Higher   13 14 10 11 10 13 7 5 8 10 11
Exceeded High   10 10 6 9 8 10 3 4 7 9 9
Scenario Percentage   77% 71% 60% 82% 80% 77% 43% 80% 88% 90% 82%
Avg Max Increase   11.64% 6.43% 9.82% 12.55% 10.06% 8.30% 15.55% 29.33% 27.65% 23.26% 16.01%
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   -1.94% -1.72% -1.71% -2.44% -2.44% -4.45% -2.48% -2.39% -2.96% -3.88% -3.61%
Max Decline   -7.88% -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 10 9 12 4 12 4 3 8 4 4
2012 Contract Condition   Yes                    
Action   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   20 22 22 22 22 22 22 22 22 22 22
Closed Lower   6 8 12 11 12 9 15 17 14 12 11
Penetrated Low   3 3 8 8 11 8 12 14 12 11 9
Scenario Percentage   50% 38% 67% 73% 92% 89% 80% 82% 86% 92% 82%
Avg Max Decline   3.50% 9.60% 8.96% 10.38% 9.18% 10.08% 13.34% 16.32% 16.92% 13.03% 9.75%
Max Decline   5.13% 14.17% 14.58% 19.01% 23.69% 19.10% 24.24% 32.58% 36.48% 31.64% 19.74%
Avg Days To Max Decline   19 24 22 16 14 26 20 17 19 20 19
Avg Max Increase   -2.09% -8.62% -3.68% -2.36% -1.93% -5.48% -1.83% -3.83% -3.84% -7.83% -3.65%
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 15 15 2 7 12 3 6 5 8 5
2012 Contract Condition     Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes
Action     Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes
High 5.000 5.007 5.047 5.067 4.817 4.524 4.500 4.129 4.035 3.740 3.210 2.862
Low 4.490 4.632 4.608 4.511 4.461 4.200 4.071 3.852 3.493 3.050 2.438 2.500
Close/Last 4.883 5.002 4.937 4.677 4.468 4.433 4.097 4.026 3.616 3.079 2.638 2.616

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