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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   22 22 22 22 22 22 23 23 23 23 23
Closed Higher   6 10 10 14 15 14 13 10 11 10 13
Exceeded High   4 7 10 12 15 11 8 5 9 8 12
Scenario Percentage   67% 70% 100% 86% 100% 79% 62% 50% 82% 80% 92%
Avg Max Increase   10.86% 14.47% 13.40% 14.82% 13.78% 15.01% 9.66% 21.79% 23.70% 19.38% 11.62%
Max Increase   25.82% 36.54% 27.29% 40.36% 49.68% 42.55% 17.99% 61.21% 71.77% 36.43% 25.39%
Avg Days To Max Increase   8 21 25 19 17 15 19 24 19 14 19
Avg Max Decline   -1.11% -0.80% -2.56% -2.02% -2.86% -3.46% -5.84% -6.04% -6.20% -2.93% -5.37%
Max Decline   -2.54% -3.05% -4.39% -7.06% -7.12% -10.59% -16.13% -16.70% -20.10% -7.84% -14.71%
Avg Days to Max Decline   3 6 14 6 8 8 13 11 10 7 5
2012 Contract Condition         Yes   Yes   Yes Yes   Yes
Action         No   Yes   Yes No   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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   22 22 22 22 22 22 23 23 23 23 23
Closed Lower   16 12 12 8 7 8 10 13 12 13 10
Penetrated Low   13 10 9 5 6 6 8 11 10 12 9
Scenario Percentage   81% 83% 75% 63% 86% 75% 80% 85% 83% 92% 90%
Avg Max Decline   10.42% 8.69% 9.66% 11.51% 9.74% 11.46% 13.21% 12.93% 15.34% 15.58% 9.02%
Max Decline   27.32% 24.57% 20.93% 16.57% 23.43% 30.43% 22.33% 26.51% 25.58% 35.90% 19.47%
Avg Days To Max Decline   14 18 18 21 22 22 20 24 15 15 17
Avg Max Increase   -1.88% -2.23% -4.45% -1.75% -3.67% -3.92% -7.84% -3.51% -5.85% -4.94% -4.89%
Max Increase   -5.70% -8.20% -10.46% -3.88% -11.43% -9.07% -14.01% -9.10% -11.98% -16.44% -20.08%
Avg Days to Max Increase   7 9 6 6 9 10 15 18 8 11 3
2012 Contract Condition   Yes Yes Yes   Yes   Yes     Yes  
Action   Yes Yes Yes   Yes   Yes     Not Yet  
High 4.441 4.352 4.065 3.583 3.364 3.105 2.908 3.191 3.217 3.407 3.368 3.330
Low 4.196 3.853 3.450 2.881 2.981 2.780 2.566 2.784 2.650 2.968 2.790 2.802
Close/Last 4.346 3.964 3.479 3.098 3.121 2.816 2.852 2.851 3.091 3.348 2.963 3.320

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