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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, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   17 18 18 18 18 19 19 19 19 19 19
Closed Higher   8 11 14 14 13 10 8 10 11 11 7
Exceeded High   6 10 12 14 11 5 4 10 9 9 2
Scenario Percentage   75% 91% 86% 100% 85% 50% 50% 100% 82% 82% 29%
Avg Max Increase   15.41% 12.77% 13.14% 13.45% 13.66% 9.65% 18.40% 19.77% 17.94% 19.74% 26.52%
Max Increase   32.50% 25.43% 34.97% 48.25% 40.77% 15.24% 52.45% 67.45% 32.88% 69.88% 48.46%
Avg Days To Max Increase   21 25 19 19 16 19 9 20 13 16 11
Avg Max Decline   -0.88% -2.11% -2.16% -2.51% -2.12% -2.68% -2.42% -4.43% -2.45% -5.72% -4.22%
Max Decline   -3.50% -3.30% -6.82% -6.82% -5.07% -5.95% -7.11% -13.32% -7.45% -17.06% -7.26%
Avg Days to Max Decline   6 8 5 9 7 13 5 8 7 9 3
2008 Contract Condition   Yes Yes Yes Yes Yes Yes Yes        
Action   Yes Yes 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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   17 18 18 18 18 19 19 19 19 19 19
Closed Lower   9 7 4 4 5 9 11 9 8 8 12
Penetrated Low   7 4   4 5 7 9 8 8 7 9
Scenario Percentage   78% 57% 0% 100% 100% 78% 82% 89% 100% 88% 75%
Avg Max Decline   4.64% 6.09%   9.53% 11.99% 11.47% 9.73% 11.77% 13.38% 14.75% 9.41%
Max Decline   11.38% 16.43%   21.83% 28.01% 19.21% 23.07% 24.65% 30.31% 29.25% 18.72%
Avg Days To Max Decline   13 13   20 21 23 21 15 13 18 16
Avg Max Increase   -1.46% -2.94%   -3.59% -2.67% -6.91% -2.09% -4.73% -2.66% -11.02% -5.15%
Max Increase   -7.66% -8.82%   -11.38% -5.99% -14.34% -7.63% -10.56% -5.16% -31.20% -16.04%
Avg Days to Max Increase   10 5   10 18 15 15 9 9 18 5
2008 Contract Condition                 Yes Yes Yes Yes
Action                 Yes Yes Yes Yes
High 9.344 8.767 9.130 10.380 11.232 12.258 12.995 14.160 14.355 10.400 8.884 8.199
Low 8.440 8.300 8.460 8.660 9.660 10.225 11.400 12.510 9.667 8.541 7.523 6.240
Close/Last 8.479 8.767 8.955 10.322 10.973 11.715 12.457 14.110 9.984 8.788 7.788 6.783

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