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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November Natural Gas(NYM) as of Dec 31, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   20 20 20 20 20 20 21 21 21 21 21
Closed Higher   6 9 10 14 14 12 13 9 10 10 12
Exceeded High   4 6 10 12 14 9 8 4 9 8 11
Scenario Percentage   67% 67% 100% 86% 100% 75% 62% 44% 90% 80% 92%
Avg Max Increase   10.86% 16.16% 13.40% 14.82% 14.40% 16.62% 9.66% 24.68% 23.70% 18.49% 11.10%
Max Increase   25.82% 36.54% 27.29% 40.36% 49.68% 42.55% 17.99% 61.21% 71.77% 29.34% 24.50%
Avg Days To Max Increase   8 21 25 19 18 15 19 22 19 14 18
Avg Max Decline   -1.11% -0.52% -2.56% -2.02% -2.59% -2.27% -5.84% -6.56% -6.20% -2.93% -5.87%
Max Decline   -2.54% -3.05% -4.39% -7.06% -7.12% -5.35% -16.13% -16.70% -20.10% -7.84% -14.71%
Avg Days to Max Decline   3 6 14 6 8 3 13 10 10 7 6
2010 Contract Condition     Yes         Yes Yes Yes    
Action     No         Yes No No    
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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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   20 20 20 20 20 20 21 21 21 21 21
Closed Lower   14 11 10 6 6 8 8 12 11 11 9
Penetrated Low   12 9 7 3 5 6 6 10 9 11 8
Scenario Percentage   86% 82% 70% 50% 83% 75% 75% 83% 82% 100% 89%
Avg Max Decline   9.01% 7.75% 9.39% 11.89% 9.92% 11.46% 14.33% 12.80% 15.46% 14.89% 8.62%
Max Decline   24.28% 24.57% 20.93% 16.57% 23.43% 30.43% 22.33% 26.51% 25.58% 35.90% 17.32%
Avg Days To Max Decline   14 18 18 26 22 22 23 23 14 12 14
Avg Max Increase   -1.83% -2.15% -4.29% -2.27% -3.75% -3.92% -9.18% -3.55% -6.32% -4.13% -2.95%
Max Increase   -5.70% -8.20% -10.46% -3.88% -11.43% -9.07% -14.01% -9.10% -11.98% -12.58% -9.43%
Avg Days to Max Increase   7 9 5 10 11 10 16 18 9 9 2
2010 Contract Condition   Yes   Yes Yes Yes Yes       Yes Yes
Action   Yes   Yes Yes No Yes       Yes Yes
High 6.964 6.345 6.548 6.510 6.280 5.619 5.154 5.160 5.534 5.208 5.150 4.298
Low 6.296 5.748 5.610 5.848 5.493 4.647 4.685 4.647 4.807 4.641 3.983 3.780
Close/Last 6.378 5.999 6.221 5.877 5.570 4.735 4.731 4.915 4.980 5.072 4.148 3.872

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