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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   20 22 22 22 22 22 22 22 22 22 22
Closed Higher   13 10 12 10 12 7 6 8 10 12 16
Exceeded High   10 6 11 7 9 3 5 8 9 10 14
Scenario Percentage   77% 60% 92% 70% 75% 43% 83% 100% 90% 83% 88%
Avg Max Increase   7.43% 9.82% 12.68% 10.31% 7.50% 12.07% 19.52% 20.62% 19.75% 21.73% 10.38%
Max Increase   16.77% 27.44% 41.31% 23.54% 14.89% 22.06% 31.67% 62.43% 43.11% 54.87% 35.33%
Avg Days To Max Increase   19 14 20 19 17 16 17 18 20 13 15
Avg Max Decline   -1.51% -2.33% -2.04% -1.86% -4.40% -1.62% -1.95% -1.43% -4.07% -3.97% -4.19%
Max Decline   -4.89% -7.32% -6.85% -5.03% -13.36% -3.62% -4.42% -6.21% -7.50% -8.72% -8.03%
Avg Days to Max Decline   9 14 10 4 12 2 3 5 9 8 4
2012 Contract Condition                        
Action                        
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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 Mar
Tested Years   20 22 22 22 22 22 22 22 22 22 22
Closed Lower   7 12 10 12 9 15 16 14 12 10 6
Penetrated Low   4 9 8 11 8 11 13 12 9 8 4
Scenario Percentage   57% 75% 80% 92% 89% 73% 81% 86% 75% 80% 67%
Avg Max Decline   6.87% 8.28% 9.84% 8.74% 8.83% 13.60% 14.66% 14.88% 14.89% 12.46% 7.40%
Max Decline   12.45% 14.66% 17.78% 22.61% 19.01% 23.62% 31.56% 34.01% 29.94% 27.60% 13.67%
Avg Days To Max Decline   24 21 19 17 26 20 17 18 20 14 12
Avg Max Increase   -7.09% -2.76% -2.12% -1.91% -5.15% -1.55% -2.68% -3.13% -6.93% -5.26% -4.14%
Max Increase   -13.25% -12.65% -5.64% -6.61% -20.13% -6.09% -9.12% -16.97% -13.73% -11.73% -7.44%
Avg Days to Max Increase   14 16 3 8 14 5 7 6 6 9 1
2012 Contract Condition   Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes
Action   Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes
High 5.022 5.048 5.075 4.827 4.534 4.525 4.160 4.070 3.777 3.259 2.961 2.691
Low 4.675 4.630 4.535 4.490 4.232 4.100 3.871 3.525 3.101 2.527 2.609 2.101
Close/Last 5.013 4.949 4.700 4.490 4.462 4.129 4.060 3.658 3.131 2.738 2.710 2.126

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