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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   18 18 18 18 18 18 18 18 19 19 19
Closed Higher   11 7 5 7 10 13 14 11 9 8 8
Exceeded High   7 4 4 6 10 12 14 10 6 6 8
Scenario Percentage   64% 57% 80% 86% 100% 92% 100% 91% 67% 75% 100%
Avg Max Increase   6.72% 6.92% 10.79% 17.87% 15.37% 17.54% 16.38% 16.83% 13.92% 16.32% 14.70%
Max Increase   14.51% 12.72% 25.70% 40.58% 29.66% 48.89% 51.66% 46.20% 20.70% 44.05% 28.45%
Avg Days To Max Increase   16 10 14 20 23 16 18 15 20 16 15
Avg Max Decline   -4.55% -1.09% -1.73% -0.49% -2.81% -2.42% -3.61% -3.57% -5.42% -7.69% -5.16%
Max Decline   -12.68% -3.00% -2.90% -3.47% -4.55% -6.78% -7.19% -9.20% -11.97% -18.51% -11.41%
Avg Days to Max Decline   9 2 5 8 12 7 8 7 13 10 4
2008 Contract Condition   Yes Yes   Yes Yes Yes Yes Yes Yes Yes  
Action   Yes 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   18 18 18 18 18 18 18 18 19 19 19
Closed Lower   7 11 13 11 7 5 4 7 10 11 11
Penetrated Low   4 8 11 10 4 3 4 6 9 9 8
Scenario Percentage   57% 73% 85% 91% 57% 60% 100% 86% 90% 82% 73%
Avg Max Decline   5.28% 8.70% 8.78% 7.12% 9.81% 2.67% 11.51% 17.35% 17.97% 13.94% 12.62%
Max Decline   9.66% 14.36% 18.69% 14.78% 25.24% 4.53% 25.63% 35.19% 27.88% 20.88% 23.40%
Avg Days To Max Decline   23 17 12 17 24 16 22 24 23 17 19
Avg Max Increase   -2.90% -1.09% -2.07% -1.45% -4.32% -8.84% -3.95% -4.33% -8.15% -4.52% -5.40%
Max Increase   -4.08% -1.72% -6.49% -10.41% -10.77% -23.15% -11.31% -10.27% -14.77% -13.49% -16.17%
Avg Days to Max Increase   18 7 7 6 14 20 9 10 14 19 5
2008 Contract Condition       Yes               Yes
Action       Yes               Yes
High 8.390 7.959 8.377 8.519 7.920 8.540 9.697 10.605 11.655 12.275 13.508 13.752
Low 7.510 7.490 7.682 7.565 7.420 7.841 7.977 9.002 9.571 10.756 11.803 8.810
Close/Last 7.567 7.841 8.370 7.567 7.911 8.357 9.607 10.313 11.065 11.810 13.418 9.119

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