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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, 2008
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 16 17 17 17 17 18 18 18 18 18 18
Closed Higher 7 10 13 13 12 9 7 10 11 11 7
Exceeded High 5 9 11 13 10 4 3 10 9 9 2
Scenario Percentage 71% 90% 85% 100% 83% 44% 43% 100% 82% 82% 29%
Avg Max Increase 14.82% 11.36% 12.68% 13.06% 12.94% 8.25% 23.95% 19.77% 17.94% 19.74% 26.52%
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 18 14 23 11 20 13 16 11
Avg Max Decline -0.36% -1.98% -1.74% -2.18% -2.06% -3.46% -2.88% -4.43% -2.45% -5.72% -4.22%
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 9 3 10 8 16 6 8 7 9 3
2007 Contract Condition   Yes   Yes Yes         Yes Yes
Action   Yes   Yes 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years 16 17 17 17 17 18 18 18 18 18 18
Closed Lower 9 7 4 4 5 9 11 8 7 7 11
Penetrated Low 7 4   4 5 7 9 7 7 6 9
Scenario Percentage 78% 57% 0% 100% 100% 78% 82% 88% 100% 86% 82%
Avg Max Decline 4.64% 6.09%   9.53% 11.99% 11.47% 9.73% 9.93% 11.15% 13.49% 23.15%
Max Decline 11.38% 16.43%   21.83% 28.01% 19.21% 23.07% 13.61% 30.31% 29.25% 59.69%
Avg Days To Max Decline 13 13   20 21 23 21 13 11 19 21
Avg Max Increase -1.46% -2.94%   -3.59% -2.67% -6.91% -2.09% -4.81% -2.89% -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 15 15 10 8 21 8
2007 Contract Condition Yes   Yes     Yes Yes Yes Yes    
Action No   No     Yes Yes Yes Yes    
High 9.400 9.119 9.419 9.580 9.750 9.912 9.838 8.676 8.800 8.025 8.475
Low 8.270 8.310 8.830 8.839 9.207 9.420 8.390 7.970 7.350 7.165 7.365
Close/Last 8.563 9.016 9.015 9.560 9.661 9.600 8.573 8.294 7.381 7.705 8.330

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