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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March 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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   19 20 21 21 21 21 21 21 21 21 21
Closed Higher   14 13 13 9 10 10 13 9 5 8 9
Exceeded High   14 11 9 4 9 9 10 3 4 8 8
Scenario Percentage   100% 85% 69% 44% 90% 90% 77% 33% 80% 100% 89%
Avg Max Increase   13.27% 12.14% 7.62% 17.84% 16.45% 12.17% 11.56% 21.02% 38.98% 20.09% 10.92%
Max Increase   49.20% 41.19% 14.43% 45.89% 59.17% 24.29% 23.36% 46.56% 57.64% 42.80% 22.10%
Avg Days To Max Increase   19 16 18 16 20 12 16 16 14 14 12
Avg Max Decline   -2.40% -1.97% -2.05% -2.22% -3.30% -2.31% -4.76% -3.34% -3.15% -4.03% -4.92%
Max Decline   -6.69% -6.93% -6.33% -5.69% -8.69% -5.93% -14.19% -6.98% -13.09% -15.72% -18.55%
Avg Days to Max Decline   8 8 9 5 8 7 11 4 8 6 2
2011 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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   19 20 21 21 21 21 21 21 21 21 21
Closed Lower   5 7 8 12 11 11 8 12 16 13 12
Penetrated Low   5 5 6 8 10 10 7 9 13 12 10
Scenario Percentage   100% 71% 75% 67% 91% 91% 88% 75% 81% 92% 83%
Avg Max Decline   6.03% 5.27% 7.85% 10.73% 10.84% 11.16% 10.55% 14.62% 18.01% 18.46% 11.64%
Max Decline   17.90% 12.62% 17.21% 17.79% 23.20% 29.22% 20.59% 25.09% 33.41% 38.59% 25.13%
Avg Days To Max Decline   22 18 18 22 15 13 26 17 19 17 19
Avg Max Increase   -5.20% -3.71% -6.57% -3.51% -3.65% -2.40% -8.20% -5.54% -4.20% -4.33% -7.34%
Max Increase   -12.76% -7.89% -13.60% -10.34% -8.44% -10.34% -23.13% -26.05% -13.34% -37.04% -22.13%
Avg Days to Max Increase   17 9 12 17 10 8 12 7 7 5 4
2011 Contract Condition   Yes Yes   Yes Yes Yes Yes Yes Yes   Yes
Action   Yes Yes   Yes Yes Yes Yes No No   Yes
High 6.544 5.995 5.630 5.675 5.749 5.458 5.327 4.613 4.354 4.454 4.601 4.823
Low 5.881 5.147 5.211 5.115 5.220 5.034 4.418 4.194 3.854 3.890 3.980 4.252
Close/Last 5.960 5.278 5.260 5.336 5.299 5.253 4.580 4.259 4.219 4.169 4.422 4.420

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