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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Natural Gas(NYM) as of Jan 01, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years 17 19 19 19 19 19 19 19 19 19 19
Closed Higher 11 10 12 10 11 7 6 6 9 12 15
Exceeded High 9 6 11 7 8 3 5 6 9 10 14
Scenario Percentage 82% 60% 92% 70% 73% 43% 83% 100% 100% 83% 93%
Avg Max Increase 7.33% 9.82% 12.68% 10.31% 7.89% 12.07% 19.52% 24.80% 19.75% 21.73% 10.80%
Max Increase 16.77% 27.44% 41.31% 23.54% 14.89% 22.06% 31.67% 62.43% 43.11% 54.87% 35.33%
Avg Days To Max Increase 19 14 20 19 17 16 17 19 20 13 15
Avg Max Decline -1.54% -2.33% -2.04% -1.86% -4.23% -1.62% -1.95% -1.63% -4.07% -3.97% -4.19%
Max Decline -4.89% -7.32% -6.85% -5.03% -13.36% -3.62% -4.42% -6.21% -7.50% -8.72% -8.03%
Avg Days to Max Decline 9 14 10 4 13 2 3 5 9 8 4
2009 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years 17 19 19 19 19 19 19 19 19 19 19
Closed Lower 6 9 7 9 7 12 13 13 10 7 4
Penetrated Low 3 6 5 8 6 9 11 11 7 5 4
Scenario Percentage 50% 67% 71% 89% 86% 75% 85% 85% 70% 71% 100%
Avg Max Decline 6.07% 6.85% 7.87% 7.64% 7.87% 12.32% 13.74% 14.48% 12.16% 9.04% 30.86%
Max Decline 12.45% 12.50% 17.78% 22.61% 19.01% 22.58% 31.56% 34.01% 29.94% 26.25% 57.41%
Avg Days To Max Decline 22 19 19 16 27 21 18 17 17 18 7
Avg Max Increase -8.60% -3.24% -2.10% -2.40% -6.41% -1.95% -2.85% -3.04% -6.33% -7.66% -9.18%
Max Increase -13.25% -12.65% -3.75% -6.61% -20.13% -6.09% -9.12% -16.97% -13.73% -11.73% -15.22%
Avg Days to Max Increase 15 20 3 9 18 6 8 6 4 15 11
2009 Contract Condition     Yes Yes Yes Yes Yes Yes Yes Yes Yes
Action     Yes Yes Yes Yes Yes Yes Yes Yes Yes
High 10.730 11.650 11.817 9.580 8.591 8.130 7.475 6.678 6.320 5.010 4.754
Low 9.415 10.416 9.000 8.412 7.646 6.600 6.340 5.455 4.500 4.005 3.634
Close/Last 10.337 11.610 9.299 8.528 7.828 7.046 6.575 5.795 4.574 4.278 3.776

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