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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 30, 2011
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   20 21 21 21 21 22 22 22 22 22 22
Closed Higher   10 11 14 15 14 12 8 11 11 12 7
Exceeded High   7 10 12 15 12 7 4 10 9 10 2
Scenario Percentage   70% 91% 86% 100% 86% 58% 50% 91% 82% 83% 29%
Avg Max Increase   13.70% 12.77% 13.14% 12.84% 12.71% 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 18 15 18 9 20 13 17 11
Avg Max Decline   -1.13% -2.11% -2.16% -2.73% -2.74% -2.56% -2.42% -4.43% -2.45% -5.99% -4.22%
Max Decline   -3.50% -3.30% -6.82% -6.82% -9.58% -5.95% -7.11% -13.32% -7.45% -17.06% -7.26%
Avg Days to Max Decline   6 8 5 9 8 10 5 8 7 8 3
2011 Contract Condition   Yes     Yes Yes            
Action   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   20 21 21 21 21 22 22 22 22 22 22
Closed Lower   10 10 7 6 7 10 14 11 11 10 15
Penetrated Low   8 7 3 6 6 8 12 10 11 9 11
Scenario Percentage   80% 70% 43% 100% 86% 80% 86% 91% 100% 90% 73%
Avg Max Decline   6.69% 9.66% 10.35% 7.98% 10.44% 11.56% 10.99% 12.49% 14.04% 15.04% 10.80%
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 15 22 22 21 24 23 15 15 19 17
Avg Max Increase   -2.15% -3.27% -1.53% -4.32% -3.66% -6.56% -2.60% -4.89% -2.13% -9.02% -4.39%
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 7 17 17 14 15 8 7 17 4
2011 Contract Condition     Yes Yes     Yes Yes Yes Yes Yes Yes
Action     Yes Yes     Yes Yes Yes Yes Yes Yes
High 5.176 5.221 5.268 5.048 5.145 5.173 5.215 5.283 4.871 4.537 4.450 4.039
Low 4.740 4.785 4.895 4.565 4.520 4.708 4.670 4.586 4.457 4.134 3.936 3.724
Close/Last 4.987 5.092 4.985 4.770 4.998 5.165 5.075 4.739 4.462 4.386 3.962 3.934

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