MRCI's ScenarioSM Study

ScenarioSM Study for November Natural Gas(NYM) as of Dec 31, 2010
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep
Tested Years		20	20	20	20	20	20	21	21	21	21	21
Closed Higher		6	9	10	14	14	12	13	9	10	10	12
Exceeded High		4	6	10	12	14	9	8	4	9	8	11
Scenario Percentage		67%	67%	100%	86%	100%	75%	62%	44%	90%	80%	92%
Avg Max Increase		10.86%	16.16%	13.40%	14.82%	14.40%	16.62%	9.66%	24.68%	23.70%	18.49%	11.10%
Max Increase		25.82%	36.54%	27.29%	40.36%	49.68%	42.55%	17.99%	61.21%	71.77%	29.34%	24.50%
Avg Days To Max Increase		8	21	25	19	18	15	19	22	19	14	18
Avg Max Decline		-1.11%	-0.52%	-2.56%	-2.02%	-2.59%	-2.27%	-5.84%	-6.56%	-6.20%	-2.93%	-5.87%
Max Decline		-2.54%	-3.05%	-4.39%	-7.06%	-7.12%	-5.35%	-16.13%	-16.70%	-20.10%	-7.84%	-14.71%
Avg Days to Max Decline		3	6	14	6	8	3	13	10	10	7	6
2010 Contract Condition			Yes					Yes	Yes	Yes
Action			No					Yes	No	No

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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	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep
Tested Years		20	20	20	20	20	20	21	21	21	21	21
Closed Lower		14	11	10	6	6	8	8	12	11	11	9
Penetrated Low		12	9	7	3	5	6	6	10	9	11	8
Scenario Percentage		86%	82%	70%	50%	83%	75%	75%	83%	82%	100%	89%
Avg Max Decline		9.01%	7.75%	9.39%	11.89%	9.92%	11.46%	14.33%	12.80%	15.46%	14.89%	8.62%
Max Decline		24.28%	24.57%	20.93%	16.57%	23.43%	30.43%	22.33%	26.51%	25.58%	35.90%	17.32%
Avg Days To Max Decline		14	18	18	26	22	22	23	23	14	12	14
Avg Max Increase		-1.83%	-2.15%	-4.29%	-2.27%	-3.75%	-3.92%	-9.18%	-3.55%	-6.32%	-4.13%	-2.95%
Max Increase		-5.70%	-8.20%	-10.46%	-3.88%	-11.43%	-9.07%	-14.01%	-9.10%	-11.98%	-12.58%	-9.43%
Avg Days to Max Increase		7	9	5	10	11	10	16	18	9	9	2
2010 Contract Condition		Yes		Yes	Yes	Yes	Yes				Yes	Yes
Action		Yes		Yes	Yes	No	Yes				Yes	Yes
High	6.964	6.345	6.548	6.510	6.280	5.619	5.154	5.160	5.534	5.208	5.150	4.298
Low	6.296	5.748	5.610	5.848	5.493	4.647	4.685	4.647	4.807	4.641	3.983	3.780
Close/Last	6.378	5.999	6.221	5.877	5.570	4.735	4.731	4.915	4.980	5.072	4.148	3.872