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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 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   22 22 22 22 22 22 22 22 22 23 23
Closed Higher   10 13 7 5 8 11 13 15 13 12 10
Exceeded High   8 9 4 4 6 10 12 15 12 8 4
Scenario Percentage   80% 69% 57% 80% 75% 91% 92% 100% 92% 67% 40%
Avg Max Increase   9.88% 7.30% 7.13% 11.53% 17.98% 15.77% 18.00% 16.22% 16.83% 16.57% 10.56%
Max Increase   23.34% 15.36% 13.57% 26.45% 41.51% 29.66% 48.98% 52.12% 47.41% 28.82% 18.75%
Avg Days To Max Increase   20 17 13 16 20 23 17 17 14 18 16
Avg Max Decline   -2.19% -4.18% -0.93% -2.32% -0.85% -3.05% -2.85% -4.10% -5.28% -6.12% -4.40%
Max Decline   -4.89% -13.01% -2.65% -4.16% -4.20% -4.76% -6.66% -8.17% -12.70% -12.50% -12.28%
Avg Days to Max Decline   8 8 2 12 8 11 9 11 11 12 6
2012 Contract Condition                   Yes Yes Yes
Action                   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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   22 22 22 22 22 22 22 22 22 23 23
Closed Lower   12 9 15 17 14 11 9 7 9 11 13
Penetrated Low   11 8 11 14 11 8 7 7 7 10 11
Scenario Percentage   92% 89% 73% 82% 79% 73% 78% 100% 78% 91% 85%
Avg Max Decline   8.28% 7.91% 11.73% 11.96% 10.65% 13.11% 11.79% 11.32% 16.23% 17.03% 10.36%
Max Decline   21.05% 17.97% 22.09% 29.97% 28.66% 25.57% 23.91% 27.18% 36.75% 28.58% 15.91%
Avg Days To Max Decline   16 24 19 14 17 20 19 19 22 18 16
Avg Max Increase   -1.64% -2.89% -1.27% -2.05% -2.35% -6.04% -4.53% -4.80% -5.11% -8.74% -2.79%
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   10 11 5 6 5 12 12 11 10 10 5
2012 Contract Condition   Yes Yes Yes Yes Yes Yes Yes Yes      
Action   Yes Yes Yes Yes Yes Yes Yes Yes      
High 4.921 4.650 4.640 4.267 4.182 3.893 3.395 3.137 2.862 2.550 2.882 2.975
Low 4.594 4.347 4.232 4.011 3.661 3.248 2.666 2.764 2.424 2.175 2.409 2.215
Close/Last 4.594 4.573 4.236 4.169 3.784 3.276 2.891 2.886 2.461 2.462 2.481 2.824

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