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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, 2013
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   21 22 22 22 22 22 22 22 22 22 23
Closed Higher   11 10 11 6 5 9 11 12 15 13 12
Exceeded High   9 8 8 4 4 7 10 10 15 12 7
Scenario Percentage   82% 80% 73% 67% 80% 78% 91% 83% 100% 92% 58%
Avg Max Increase   14.06% 9.42% 7.67% 7.21% 12.29% 18.84% 16.54% 21.20% 16.47% 15.79% 9.54%
Max Increase   40.16% 22.45% 15.07% 13.68% 26.86% 45.30% 32.40% 51.42% 53.57% 45.35% 19.70%
Avg Days To Max Increase   20 18 18 13 14 21 24 18 17 13 13
Avg Max Decline   -2.29% -2.21% -4.25% -0.96% -4.23% -1.05% -3.32% -3.01% -4.91% -5.15% -3.10%
Max Decline   -6.37% -4.34% -12.87% -2.81% -11.21% -5.20% -6.30% -7.01% -8.65% -14.73% -12.76%
Avg Days to Max Decline   11 8 8 2 16 8 9 9 11 7 2
2012 Contract Condition                     Yes Yes
Action                     Yes 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   21 22 22 22 22 22 22 22 22 22 23
Closed Lower   10 12 9 15 17 13 11 9 7 9 11
Penetrated Low   9 12 8 10 13 11 8 6 7 7 8
Scenario Percentage   90% 100% 89% 67% 76% 85% 73% 67% 100% 78% 73%
Avg Max Decline   8.57% 7.78% 8.23% 12.87% 13.18% 11.27% 13.88% 14.68% 12.37% 13.57% 10.49%
Max Decline   16.71% 21.80% 18.48% 22.56% 30.46% 28.87% 26.72% 25.30% 28.35% 28.86% 14.06%
Avg Days To Max Decline   21 15 26 19 14 19 23 22 19 16 18
Avg Max Increase   -1.98% -1.25% -4.95% -1.31% -2.33% -2.76% -6.36% -5.20% -5.30% -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   3 12 14 3 7 6 9 14 9 7 6
2012 Contract Condition   Yes Yes Yes Yes Yes Yes Yes Yes Yes    
Action   Yes Yes Yes Yes Yes Yes Yes Yes Yes    
High 5.130 4.890 4.617 4.580 4.244 4.159 3.868 3.368 3.104 2.837 2.473 2.838
Low 4.615 4.564 4.320 4.209 3.977 3.637 3.210 2.643 2.740 2.356 2.096 2.338
Close/Last 4.776 4.564 4.547 4.212 4.145 3.755 3.243 2.867 2.852 2.389 2.394 2.422

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