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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 Apr 30, 2011
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   20 20 20 20 20 20 20 20 21 21 21
Closed Higher   12 7 5 8 10 13 14 12 11 9 9
Exceeded High   8 4 4 7 10 12 14 11 7 6 9
Scenario Percentage   67% 57% 80% 88% 100% 92% 100% 92% 64% 67% 100%
Avg Max Increase   6.32% 6.92% 10.79% 16.22% 15.37% 17.54% 16.38% 17.60% 14.55% 16.32% 13.26%
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 18 23 16 18 15 19 16 14
Avg Max Decline   -4.56% -1.09% -1.73% -0.29% -2.81% -2.42% -3.61% -3.41% -5.00% -7.69% -5.13%
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   8 2 5 8 12 7 8 7 11 10 4
2011 Contract Condition         Yes     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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   20 20 20 20 20 20 20 20 21 21 21
Closed Lower   8 13 15 12 9 7 6 8 10 12 12
Penetrated Low   5 10 13 11 6 5 6 6 9 10 9
Scenario Percentage   63% 77% 87% 92% 67% 71% 100% 75% 90% 83% 75%
Avg Max Decline   7.82% 10.52% 10.33% 9.07% 13.47% 10.07% 10.42% 17.35% 17.97% 17.20% 15.58%
Max Decline   17.97% 20.90% 29.50% 28.61% 25.24% 22.92% 25.63% 35.19% 27.88% 32.40% 26.31%
Avg Days To Max Decline   24 16 13 18 26 22 21 24 23 18 21
Avg Max Increase   -2.99% -1.39% -1.85% -2.03% -5.70% -6.23% -4.69% -4.33% -8.15% -4.52% -6.35%
Max Increase   -4.08% -5.87% -6.49% -10.41% -10.77% -23.15% -11.31% -10.27% -14.77% -13.49% -16.17%
Avg Days to Max Increase   15 6 6 6 12 16 12 10 14 20 5
2011 Contract Condition   Yes Yes Yes     Yes          
Action   Yes No No     Yes          
High 5.220 4.735 4.549 4.575 4.678 4.888 4.663 4.726 4.815 4.850    
Low 4.579 4.396 4.012 4.116 4.209 4.450 4.067 4.012 4.208 4.758    
Close/Last 4.724 4.457 4.391 4.358 4.590 4.590 4.275 4.571 4.809 4.819    

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