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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Natural Gas(NYM) as of Jan 01, 2007
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years 15 16 16 16 16 17 17 17 17 17 17
Closed Higher 7 9 13 12 11 9 7 10 11 10 6
Exceeded High 5 8 11 12 9 4 3 10 9 8 1
Scenario Percentage 71% 89% 85% 100% 82% 44% 43% 100% 82% 80% 17%
Avg Max Increase 14.82% 12.00% 12.68% 13.84% 14.09% 8.25% 23.95% 19.77% 17.94% 20.58% 48.46%
Max Increase 32.50% 24.85% 34.97% 48.25% 40.77% 12.88% 52.45% 67.45% 32.88% 69.88% 48.46%
Avg Days To Max Increase 20 26 18 19 14 23 11 20 13 18 21
Avg Max Decline -0.36% -1.97% -1.74% -2.05% -2.02% -3.46% -2.88% -4.43% -2.45% -5.89% -7.26%
Max Decline -2.36% -3.30% -4.84% -6.23% -5.07% -5.95% -7.11% -13.32% -7.45% -17.06% -7.26%
Avg Days to Max Decline 3 10 3 9 7 16 6 8 7 7 5
2006 Contract Condition Yes     Yes Yes   Yes Yes     Yes
Action No     Yes No   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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years 15 16 16 16 16 17 17 17 17 17 17
Closed Lower 8 7 3 4 5 8 10 7 6 7 11
Penetrated Low 7 4   4 5 6 8 6 6 6 9
Scenario Percentage 88% 57% 0% 100% 100% 75% 80% 86% 100% 86% 82%
Avg Max Decline 4.64% 6.09%   9.53% 11.99% 10.55% 9.16% 9.32% 12.52% 13.49% 23.15%
Max Decline 11.38% 16.43%   21.83% 28.01% 19.21% 23.07% 13.25% 30.31% 29.25% 59.69%
Avg Days To Max Decline 13 13   20 21 23 20 14 12 19 21
Avg Max Increase -1.46% -2.94%   -3.59% -2.67% -7.65% -2.02% -4.59% -2.85% -11.98% -9.80%
Max Increase -7.66% -8.82%   -11.38% -5.99% -14.34% -7.63% -10.56% -5.16% -31.20% -47.44%
Avg Days to Max Increase 10 5   10 18 16 11 10 8 21 8
2006 Contract Condition   Yes Yes     Yes     Yes Yes  
Action   Yes No     Yes     Yes Not Yet  
High 12.183 11.510 11.600 10.650 11.770 10.930 10.490 11.111 11.430 10.140 8.500
Low 11.033 10.470 9.520 9.600 10.000 9.290 9.400 9.000 9.771 6.954 7.060
Close/Last 11.479 11.391 9.725 10.065 10.583 9.556 9.689 11.111 9.978 7.345 7.534

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