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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   20 20 20 20 20 20 20 20 20 21 21
Closed Higher   10 13 7 5 7 10 13 14 11 11 9
Exceeded High   8 9 4 4 5 10 12 14 10 7 3
Scenario Percentage   80% 69% 57% 80% 71% 100% 92% 100% 91% 64% 33%
Avg Max Increase   9.88% 7.30% 7.13% 11.53% 20.19% 15.77% 18.00% 16.94% 17.70% 15.00% 10.11%
Max Increase   23.34% 15.36% 13.57% 26.45% 41.51% 29.66% 48.98% 52.12% 47.41% 23.43% 18.75%
Avg Days To Max Increase   20 17 13 16 20 23 17 18 14 18 14
Avg Max Decline   -2.19% -4.18% -0.93% -2.32% -0.50% -3.05% -2.85% -3.80% -4.06% -5.46% -4.61%
Max Decline   -4.89% -13.01% -2.65% -4.16% -4.20% -4.76% -6.66% -7.31% -11.03% -12.50% -12.28%
Avg Days to Max Decline   8 8 2 12 8 11 9 11 7 12 5
2010 Contract Condition     Yes     Yes         Yes Yes
Action     Yes     No         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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   20 20 20 20 20 20 20 20 20 21 21
Closed Lower   10 7 13 15 13 10 7 6 9 10 12
Penetrated Low   9 6 10 13 10 7 5 6 7 9 10
Scenario Percentage   90% 86% 77% 87% 77% 70% 71% 100% 78% 90% 83%
Avg Max Decline   7.23% 6.88% 10.69% 10.60% 9.85% 12.67% 10.71% 11.27% 16.23% 17.42% 10.68%
Max Decline   21.05% 17.97% 21.26% 29.97% 28.66% 25.57% 23.91% 27.18% 36.75% 28.58% 15.91%
Avg Days To Max Decline   14 24 18 13 17 19 22 19 22 19 17
Avg Max Increase   -1.82% -3.38% -1.37% -1.98% -2.22% -5.68% -5.97% -5.00% -5.11% -9.00% -2.99%
Max Increase   -6.55% -5.04% -5.89% -7.11% -11.65% -11.28% -21.80% -11.46% -10.17% -14.97% -11.11%
Avg Days to Max Increase   11 14 5 7 5 11 17 12 10 11 5
2010 Contract Condition   Yes   Yes Yes   Yes Yes Yes Yes    
Action   Yes   Yes Yes   Yes Yes Yes Yes    
High 6.106 6.234 6.213 6.402 5.719 6.117 6.111 5.864 5.139 4.639 4.655 5.249
Low 5.554 5.600 5.211 5.680 5.110 4.920 5.370 5.040 4.117 4.120 4.070 4.285
Close/Last 5.939 5.607 6.179 5.760 5.362 5.765 5.390 5.107 4.163 4.153 4.409 4.616

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