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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October Natural Gas(NYM) as of Dec 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   21 21 21 21 21 21 21 22 22 22 22
Closed Higher   7 5 11 9 14 15 12 12 9 9 9
Exceeded High   4 4 8 9 12 15 11 7 6 9 7
Scenario Percentage   57% 80% 73% 100% 86% 100% 92% 58% 67% 100% 78%
Avg Max Increase   6.90% 11.35% 14.95% 15.33% 16.81% 14.76% 14.67% 12.73% 20.28% 27.61% 19.02%
Max Increase   13.84% 26.17% 40.28% 29.61% 45.23% 50.99% 44.79% 18.93% 73.17% 68.95% 32.10%
Avg Days To Max Increase   9 8 21 23 16 17 15 19 17 15 21
Avg Max Decline   -0.72% -1.79% -1.82% -2.90% -2.22% -3.58% -4.08% -4.94% -7.01% -5.58% -3.80%
Max Decline   -2.85% -2.44% -3.57% -4.51% -6.85% -7.82% -11.85% -12.50% -17.71% -12.12% -7.53%
Avg Days to Max Decline   3 4 11 8 6 9 8 10 10 5 5
2011 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   21 21 21 21 21 21 21 22 22 22 22
Closed Lower   12 14 10 12 7 6 9 10 13 13 13
Penetrated Low   8 11 9 8 4 6 7 9 11 12 11
Scenario Percentage   67% 79% 90% 67% 57% 100% 78% 90% 85% 92% 85%
Avg Max Decline   10.43% 9.47% 9.32% 12.30% 12.60% 10.38% 14.64% 16.89% 17.17% 17.97% 13.36%
Max Decline   20.14% 28.79% 28.37% 24.63% 21.22% 25.09% 34.29% 26.66% 30.69% 38.37% 33.04%
Avg Days To Max Decline   16 10 19 20 20 22 24 21 26 13 14
Avg Max Increase   -1.55% -1.97% -2.23% -4.85% -2.16% -4.82% -5.14% -7.75% -7.26% -7.58% -4.96%
Max Increase   -6.07% -6.24% -9.20% -10.64% -4.47% -11.44% -10.74% -14.11% -31.42% -14.39% -14.29%
Avg Days to Max Increase   7 7 7 9 8 12 10 15 23 7 5
2011 Contract Condition   Yes Yes   Yes Yes     Yes Yes Yes Yes
Action   No No   Yes Yes     Yes Yes Yes Yes
High 4.849 4.629 4.660 4.757 4.950 4.704 4.770 4.850 4.884 5.010 4.600 4.228
Low 4.473 4.155 4.182 4.280 4.500 4.118 4.051 4.256 4.270 4.255 4.110 3.780
Close/Last 4.535 4.471 4.442 4.657 4.631 4.322 4.617 4.844 4.744 4.432 4.157 4.054

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