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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 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   19 20 20 20 20 20 20 20 20 20 21
Closed Higher   11 10 11 6 5 8 10 12 14 11 11
Exceeded High   9 8 8 4 4 6 10 10 14 10 7
Scenario Percentage   82% 80% 73% 67% 80% 75% 100% 83% 100% 91% 64%
Avg Max Increase   14.06% 9.42% 7.67% 7.21% 12.29% 20.55% 16.54% 21.20% 17.23% 17.02% 9.95%
Max Increase   40.16% 22.45% 15.07% 13.68% 26.86% 45.30% 32.40% 51.42% 53.57% 49.30% 19.70%
Avg Days To Max Increase   20 18 18 13 14 20 24 18 18 13 13
Avg Max Decline   -2.29% -2.21% -4.25% -0.96% -4.23% -0.81% -3.32% -3.01% -4.65% -4.64% -3.10%
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 8 2 16 8 9 9 11 7 2
2010 Contract Condition       Yes     Yes         Yes
Action       Yes     No         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   19 20 20 20 20 20 20 20 20 20 21
Closed Lower   8 10 7 13 15 12 10 7 6 9 10
Penetrated Low   7 10 6 9 12 10 7 4 6 7 8
Scenario Percentage   88% 100% 86% 69% 80% 83% 70% 57% 100% 78% 80%
Avg Max Decline   7.64% 6.70% 7.26% 11.79% 11.81% 10.55% 13.32% 14.23% 12.38% 14.35% 11.47%
Max Decline   16.71% 21.80% 18.48% 21.82% 30.46% 28.87% 26.72% 25.30% 28.35% 34.31% 20.03%
Avg Days To Max Decline   19 14 28 18 14 19 22 26 19 17 18
Avg Max Increase   -2.40% -1.40% -6.14% -1.42% -2.27% -2.66% -6.09% -7.24% -5.60% -4.47% -4.70%
Max Increase   -5.10% -3.76% -19.21% -5.86% -7.26% -12.14% -11.88% -20.94% -11.42% -10.19% -13.44%
Avg Days to Max Increase   4 13 18 3 7 6 7 20 10 7 6
2010 Contract Condition   Yes Yes   Yes Yes   Yes Yes Yes Yes  
Action   Yes Yes   Yes Yes   Yes Yes Yes Yes  
High 6.491 6.017 6.143 6.120 6.330 5.645 6.075 6.050 5.810 5.085 4.548 4.587
Low 5.950 5.450 5.492 5.120 5.598 5.020 4.848 5.265 4.967 4.035 4.018 3.971
Close/Last 5.956 5.845 5.510 6.099 5.680 5.282 5.695 5.322 5.043 4.082 4.050 4.341

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