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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   17 18 18 18 18 18 18 18 18 18 19
Closed Higher   11 10 10 6 5 7 10 12 14 11 9
Exceeded High   9 8 7 4 4 6 10 10 14 10 6
Scenario Percentage   82% 80% 70% 67% 80% 86% 100% 83% 100% 91% 67%
Avg Max Increase   14.06% 9.42% 8.22% 7.21% 12.29% 20.55% 16.54% 21.20% 17.23% 16.62% 7.85%
Max Increase   40.16% 22.45% 15.07% 13.68% 26.86% 45.30% 32.40% 51.42% 53.57% 45.35% 14.07%
Avg Days To Max Increase   20 18 18 13 14 20 24 18 18 13 12
Avg Max Decline   -2.29% -2.21% -4.12% -0.96% -4.23% -0.81% -3.32% -3.01% -4.65% -4.64% -3.14%
Max Decline   -6.37% -4.34% -12.87% -2.81% -11.21% -5.20% -6.30% -7.01% -8.29% -14.73% -12.76%
Avg Days to Max Decline   11 8 9 2 16 8 9 9 11 7 2
2008 Contract Condition   Yes   Yes Yes   Yes Yes Yes Yes Yes Yes
Action   No   Yes Yes   Yes 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   17 18 18 18 18 18 18 18 18 18 19
Closed Lower   6 8 6 11 13 11 8 5 4 7 10
Penetrated Low   5 8 5 7 10 9 5 2 4 6 8
Scenario Percentage   83% 100% 83% 64% 77% 82% 63% 40% 100% 86% 80%
Avg Max Decline   4.87% 4.77% 5.02% 9.95% 10.31% 8.51% 10.12% 5.64% 13.79% 15.36% 10.24%
Max Decline   7.93% 14.52% 8.57% 14.72% 19.56% 15.02% 26.72% 6.43% 28.35% 28.02% 14.06%
Avg Days To Max Decline   20 13 28 20 14 18 19 23 20 18 17
Avg Max Increase   -1.79% -1.95% -6.68% -1.07% -2.59% -2.05% -4.78% -12.12% -4.64% -4.27% -4.70%
Max Increase   -3.24% -3.76% -19.21% -2.09% -7.26% -12.14% -11.88% -20.94% -11.28% -10.19% -13.44%
Avg Days to Max Increase   5 13 21 4 9 6 7 28 7 8 6
2008 Contract Condition     Yes     Yes            
Action     Yes     Yes            
High 8.730 8.302 8.300 7.870 8.292 8.444 7.805 8.465 9.629 10.535 11.582 12.209
Low 7.950 7.720 7.394 7.388 7.574 7.450 7.310 7.760 7.888 8.940 9.500 10.620
Close/Last 8.033 8.167 7.448 7.763 8.286 7.462 7.796 8.281 9.545 10.258 10.979 11.703

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