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