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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, 2010
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 18 19 19 19 19 20 20 20 20 20 20
Closed Higher 8 11 14 14 13 11 8 10 11 12 7
Exceeded High 6 10 12 14 11 6 4 10 9 10 2
Scenario Percentage 75% 91% 86% 100% 85% 55% 50% 100% 82% 83% 29%
Avg Max Increase 15.41% 12.77% 13.14% 13.45% 13.66% 9.75% 18.40% 19.77% 17.94% 18.32% 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 18 9 20 13 17 11
Avg Max Decline -0.88% -2.11% -2.16% -2.51% -2.12% -2.62% -2.42% -4.43% -2.45% -5.99% -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 12 5 8 7 8 3
2009 Contract Condition           Yes       Yes  
Action           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 18 19 19 19 19 20 20 20 20 20 20
Closed Lower 10 8 5 5 6 9 12 10 9 8 13
Penetrated Low 8 5 1 5 5 7 10 9 9 7 11
Scenario Percentage 80% 62% 20% 100% 83% 78% 83% 90% 100% 88% 85%
Avg Max Decline 6.69% 7.92% 11.55% 8.95% 11.99% 11.47% 10.10% 12.57% 13.03% 14.75% 21.52%
Max Decline 21.07% 16.43% 11.55% 21.83% 28.01% 19.21% 23.07% 24.65% 30.31% 29.25% 59.69%
Avg Days To Max Decline 15 14 30 22 21 23 22 14 12 18 20
Avg Max Increase -2.15% -3.24% -3.52% -3.57% -2.67% -6.91% -2.47% -5.24% -2.41% -11.02% -8.92%
Max Increase -7.66% -8.82% -3.52% -11.38% -5.99% -14.34% -7.63% -10.56% -5.16% -31.20% -47.44%
Avg Days to Max Increase 10 6 19 12 18 15 16 9 8 18 7
2009 Contract Condition Yes Yes Yes Yes Yes   Yes Yes Yes   Yes
Action Yes Yes Yes Yes No   Yes Yes Yes   Yes
High 7.910 7.621 6.550 6.051 5.732 6.150 6.170 5.590 5.860 5.750 5.989
Low 6.753 6.225 5.624 5.316 5.170 5.235 5.468 4.942 4.788 4.340 4.941
Close/Last 7.125 6.272 5.845 5.537 5.229 5.596 5.533 5.358 4.832 5.674 5.045

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