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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years 17 17 17 17 17 17 17 17 18 18 18
Closed Higher 10 6 5 6 9 12 13 10 8 7 8
Exceeded High 6 3 4 5 9 11 13 9 5 5 8
Scenario Percentage 60% 50% 80% 83% 100% 92% 100% 90% 62% 71% 100%
Avg Max Increase 6.40% 8.64% 10.79% 16.97% 14.09% 17.25% 16.17% 16.25% 13.42% 19.09% 14.70%
Max Increase 14.51% 12.72% 25.70% 40.58% 29.66% 48.89% 51.66% 46.20% 20.70% 44.05% 28.45%
Avg Days To Max Increase 18 13 14 19 25 15 17 13 24 19 15
Avg Max Decline -4.96% -1.15% -1.73% -0.41% -2.62% -2.02% -3.33% -3.66% -6.49% -9.01% -5.16%
Max Decline -12.68% -3.00% -2.90% -3.47% -4.20% -6.16% -6.26% -9.20% -11.97% -18.51% -11.41%
Avg Days to Max Decline 7 2 5 5 13 5 9 8 16 11 4
2007 Contract Condition   Yes Yes   Yes   Yes Yes      
Action   Yes No   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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years 17 17 17 17 17 17 17 17 18 18 18
Closed Lower 7 11 12 11 7 5 4 7 10 11 10
Penetrated Low 4 8 10 10 4 3 4 6 9 9 10
Scenario Percentage 57% 73% 83% 91% 57% 60% 100% 86% 90% 82% 100%
Avg Max Decline 5.28% 8.70% 9.46% 7.12% 9.81% 2.67% 11.51% 17.35% 17.97% 15.52% 23.45%
Max Decline 9.66% 14.36% 18.69% 14.78% 25.24% 4.53% 25.63% 35.19% 27.88% 24.40% 42.90%
Avg Days To Max Decline 23 17 13 17 24 16 22 24 23 17 19
Avg Max Increase -2.90% -1.09% -2.29% -1.45% -4.32% -8.84% -3.95% -4.33% -8.15% -4.52% -9.26%
Max Increase -4.08% -1.72% -6.49% -10.41% -10.77% -23.15% -11.31% -10.27% -14.77% -13.49% -28.51%
Avg Days to Max Increase 18 7 8 6 14 20 9 10 14 19 10
2007 Contract Condition Yes     Yes   Yes     Yes Yes Yes
Action No     Yes   Yes     Yes Yes Yes
High 8.750 8.200 8.546 8.390 8.116 8.281 8.268 8.408 8.569 8.411 6.959
Low 7.310 7.480 7.705 6.830 6.800 7.644 7.410 7.730 7.845 6.647 5.855
Close/Last 7.523 7.733 8.546 7.113 7.961 7.762 8.157 8.191 8.118 6.868 6.191

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