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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Natural Gas(NYM) as of Jan 01, 2013
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 Nov
Tested Years   21 22 22 22 23 23 23 23 23 23 23
Closed Higher   12 14 15 15 13 10 11 10 14 9 4
Exceeded High   11 12 15 12 9 5 10 8 12 3 3
Scenario Percentage   92% 86% 100% 80% 69% 50% 91% 80% 86% 33% 75%
Avg Max Increase   11.73% 12.56% 12.50% 13.23% 8.13% 18.62% 18.19% 18.58% 15.33% 29.44% 56.39%
Max Increase   25.04% 31.64% 47.87% 40.48% 14.74% 48.16% 64.91% 28.43% 50.25% 70.50% 84.34%
Avg Days To Max Increase   21 17 18 16 17 18 22 14 18 17 22
Avg Max Decline   -2.14% -2.10% -2.59% -2.40% -2.91% -3.04% -4.41% -2.35% -4.91% -3.37% -3.70%
Max Decline   -3.69% -6.85% -6.57% -9.29% -6.74% -5.99% -13.28% -6.31% -15.91% -6.78% -11.07%
Avg Days to Max Decline   8 7 9 4 14 9 11 6 8 4 1
2012 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 Nov
Tested Years   21 22 22 22 23 23 23 23 23 23 23
Closed Lower   8 8 7 7 10 13 12 13 9 14 19
Penetrated Low   8 4 7 6 8 11 11 11 8 12 16
Scenario Percentage   100% 50% 100% 86% 80% 85% 92% 85% 89% 86% 84%
Avg Max Decline   6.92% 10.46% 7.80% 9.46% 10.19% 10.57% 11.93% 12.17% 14.76% 18.62% 12.84%
Max Decline   18.30% 13.87% 20.78% 26.58% 17.81% 21.28% 23.85% 29.96% 23.74% 26.88% 19.97%
Avg Days To Max Decline   11 21 22 21 22 24 16 15 22 15 16
Avg Max Increase   -2.83% -1.44% -4.03% -3.39% -5.45% -3.04% -4.23% -2.70% -8.36% -5.98% -5.52%
Max Increase   -8.42% -3.06% -11.41% -7.95% -13.60% -8.21% -9.78% -12.23% -25.00% -24.83% -25.37%
Avg Days to Max Increase   6 11 15 12 11 18 7 8 22 8 4
2012 Contract Condition   Yes Yes     Yes Yes Yes Yes Yes Yes Yes
Action   Yes Yes     Yes Yes Yes Yes Yes Yes Yes
High 5.360 5.375 5.160 5.265 5.283 5.335 5.356 4.962 4.629 4.564 4.165 4.075
Low 4.946 5.010 4.706 4.654 4.840 4.786 4.686 4.558 4.255 4.088 3.870 3.461
Close/Last 5.244 5.099 4.905 5.118 5.276 5.182 4.844 4.564 4.498 4.123 4.056 3.550

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