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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June Natural Gas(NYM) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 16 17 17 17 17 17 17 17 17 17 17
Closed Higher 8 11 10 9 4 5 6 8 10 13 7
Exceeded High 3 10 8 6 2 4 5 8 8 13 5
Scenario Percentage 38% 91% 80% 67% 50% 80% 83% 100% 80% 100% 71%
Avg Max Increase 13.46% 13.46% 9.37% 8.28% 13.86% 13.84% 21.06% 16.86% 24.30% 17.56% 20.42%
Max Increase 27.75% 40.81% 22.49% 14.62% 16.75% 26.34% 49.02% 34.72% 54.16% 52.28% 43.27%
Avg Days To Max Increase 12 20 18 21 23 14 17 22 15 18 16
Avg Max Decline -1.99% -2.10% -2.21% -4.31% -1.80% -3.77% -1.52% -3.07% -2.97% -4.64% -3.61%
Max Decline -3.16% -6.78% -4.34% -13.06% -2.96% -10.51% -5.56% -6.29% -8.24% -7.67% -8.56%
Avg Days to Max Decline 15 10 8 7 3 22 5 10 6 10 3
2007 Contract Condition Yes Yes     Yes Yes   Yes   Yes  
Action Yes Yes     Yes No   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 16 17 17 17 17 17 17 17 17 17 17
Closed Lower 8 6 7 8 13 12 11 9 7 4 10
Penetrated Low 5 4 6 7 10 9 10 7 5 4 10
Scenario Percentage 62% 67% 86% 88% 77% 75% 91% 78% 71% 100% 100%
Avg Max Decline 6.56% 5.40% 6.04% 5.79% 9.98% 12.03% 8.77% 8.76% 5.09% 11.29% 21.35%
Max Decline 12.48% 8.08% 14.69% 9.00% 15.87% 20.85% 15.95% 28.30% 8.27% 22.12% 52.18%
Avg Days To Max Decline 14 16 17 24 19 17 14 12 21 17 9
Avg Max Increase -3.07% -1.79% -2.51% -5.54% -1.21% -2.93% -2.28% -4.28% -5.53% -5.10% -4.95%
Max Increase -12.48% -3.50% -7.18% -19.06% -2.68% -8.25% -15.44% -11.97% -20.14% -11.59% -15.32%
Avg Days to Max Increase 15 4 10 18 5 9 8 5 28 7 10
2007 Contract Condition     Yes Yes     Yes   Yes   Yes
Action     Yes No     Yes   Yes   Not Yet
High 8.655 8.750 9.003 8.450 8.009 8.344 8.235 7.961 8.086 7.970 8.140
Low 7.950 8.017 8.187 7.066 7.190 7.470 6.536 6.521 7.334 7.089 7.387
Close/Last 8.279 8.746 8.283 7.293 7.519 8.344 6.813 7.766 7.507 7.870 7.863

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