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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 Dec 31, 2010
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   19 20 20 20 20 21 21 21 21 21 21
Closed Higher   9 11 14 14 13 12 8 11 11 12 7
Exceeded High   6 10 12 14 11 7 4 10 9 10 2
Scenario Percentage   67% 91% 86% 100% 85% 58% 50% 91% 82% 83% 29%
Avg Max Increase   15.41% 12.77% 13.14% 13.45% 13.66% 9.73% 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% -2.56% -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 10 5 8 7 8 3
2010 Contract Condition   Yes         Yes   Yes      
Action   No         Yes   No      
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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   19 20 20 20 20 21 21 21 21 21 21
Closed Lower   10 9 6 6 7 9 13 10 10 9 14
Penetrated Low   8 6 2 6 6 7 11 9 10 8 10
Scenario Percentage   80% 67% 33% 100% 86% 78% 85% 90% 100% 89% 71%
Avg Max Decline   6.69% 9.72% 12.90% 7.98% 10.44% 11.47% 10.83% 12.57% 13.93% 14.79% 10.23%
Max Decline   21.07% 18.72% 14.25% 21.83% 28.01% 19.21% 23.07% 24.65% 30.31% 29.25% 18.72%
Avg Days To Max Decline   15 17 30 22 21 23 22 14 13 19 17
Avg Max Increase   -2.15% -3.60% -2.13% -4.32% -3.66% -6.91% -2.58% -5.24% -2.20% -9.90% -4.77%
Max Increase   -7.66% -8.82% -3.52% -11.38% -8.62% -14.34% -7.63% -10.56% -5.16% -31.20% -16.04%
Avg Days to Max Increase   10 6 10 17 17 15 15 9 7 17 4
2010 Contract Condition     Yes Yes Yes Yes   Yes   Yes Yes Yes
Action     Yes Yes Yes Yes   Yes   Yes Yes Not Yet
High 6.730 6.895 6.856 6.573 5.953 5.559 5.609 5.762 5.447 5.336 4.504 4.207
Low 6.141 6.059 6.192 5.824 5.068 5.135 5.026 5.140 4.946 4.300 4.040 3.500
Close/Last 6.439 6.548 6.235 5.910 5.190 5.164 5.257 5.252 5.259 4.492 4.122 4.038

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