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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, 2013
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   22 22 22 22 22 22 22 22 23 23 23
Closed Higher   12 7 5 9 10 13 15 14 12 10 10
Exceeded High   8 4 4 8 10 12 15 13 8 7 9
Scenario Percentage   67% 57% 80% 89% 100% 92% 100% 93% 67% 70% 90%
Avg Max Increase   6.32% 6.92% 10.79% 15.00% 15.37% 17.54% 15.69% 16.66% 16.42% 16.23% 13.26%
Max Increase   14.51% 12.72% 25.70% 40.58% 29.66% 48.89% 51.66% 46.20% 29.47% 44.05% 28.45%
Avg Days To Max Increase   16 10 14 19 23 16 17 15 21 18 14
Avg Max Decline   -4.56% -1.09% -1.73% -0.57% -2.81% -2.42% -3.90% -4.60% -5.72% -7.23% -5.13%
Max Decline   -12.68% -3.00% -2.90% -3.47% -4.55% -6.78% -7.94% -12.27% -11.97% -18.51% -11.41%
Avg Days to Max Decline   8 2 5 8 12 7 9 10 11 10 4
2012 Contract Condition                 Yes Yes Yes Yes
Action                 Yes Yes 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   22 22 22 22 22 22 22 22 23 23 23
Closed Lower   10 15 17 13 10 9 7 8 11 13 13
Penetrated Low   7 11 14 12 7 7 7 6 10 11 10
Scenario Percentage   70% 73% 82% 92% 70% 78% 100% 75% 91% 85% 77%
Avg Max Decline   8.93% 11.57% 11.70% 9.87% 13.74% 11.11% 10.48% 17.35% 17.54% 16.78% 14.75%
Max Decline   17.97% 22.07% 29.50% 28.61% 25.24% 22.92% 25.63% 35.19% 27.88% 32.40% 26.31%
Avg Days To Max Decline   23 17 13 18 26 19 21 24 22 18 20
Avg Max Increase   -2.53% -1.28% -1.93% -2.16% -6.08% -4.69% -4.53% -4.33% -7.97% -4.51% -5.92%
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   12 6 6 6 12 11 11 10 13 20 4
2012 Contract Condition   Yes Yes Yes Yes Yes Yes Yes        
Action   Yes Yes Yes Yes Yes Yes Yes        
High 4.648 4.630 4.269 4.179 3.895 3.401 3.143 2.868 2.582 2.912 2.978 3.277
Low 4.351 4.235 4.006 3.670 3.249 2.670 2.773 2.455 2.222 2.458 2.259 2.706
Close/Last 4.578 4.239 4.169 3.786 3.283 2.900 2.899 2.492 2.509 2.531 2.833 3.209

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