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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Natural Gas(NYM) as of Sep 30, 2017
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   25 26 26 26 27 27 27 27 27 27 27
Closed Higher   14 16 17 19 13 12 11 12 14 9 7
Exceeded High   13 13 17 15 9 6 10 9 12 3 5
Scenario Percentage   93% 81% 100% 79% 69% 50% 91% 75% 86% 33% 71%
Avg Max Increase   11.35% 12.90% 12.23% 11.89% 8.13% 15.76% 18.19% 17.08% 15.33% 29.44% 38.84%
Max Increase   25.04% 31.64% 47.87% 40.48% 14.74% 48.16% 64.91% 28.43% 50.25% 70.50% 84.34%
Avg Days To Max Increase   22 18 17 16 17 15 22 14 18 17 19
Avg Max Decline   -2.20% -2.05% -2.51% -2.55% -2.91% -2.68% -4.41% -2.32% -4.91% -3.37% -2.72%
Max Decline   -4.28% -6.85% -6.57% -9.29% -6.74% -5.99% -13.28% -6.31% -15.91% -6.78% -11.07%
Avg Days to Max Decline   8 7 8 4 14 7 11 7 8 4 1
2018 Contract Condition       Yes Yes       Yes      
Action       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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   25 26 26 26 27 27 27 27 27 27 27
Closed Lower   10 10 9 7 14 15 16 15 13 18 20
Penetrated Low   10 5 9 6 11 13 14 13 12 16 16
Scenario Percentage   100% 50% 100% 86% 79% 87% 88% 87% 92% 89% 80%
Avg Max Decline   7.19% 9.81% 7.01% 9.46% 10.09% 10.67% 11.24% 12.46% 15.03% 18.68% 13.22%
Max Decline   18.30% 13.87% 20.78% 26.58% 17.81% 21.28% 23.85% 29.96% 23.74% 32.37% 24.65%
Avg Days To Max Decline   14 20 21 21 21 23 17 17 20 15 13
Avg Max Increase   -3.26% -1.75% -4.20% -3.39% -4.97% -3.08% -3.68% -3.31% -7.54% -4.72% -4.00%
Max Increase   -9.98% -3.06% -11.41% -7.95% -13.60% -8.21% -9.78% -12.23% -25.00% -18.44% -14.45%
Avg Days to Max Increase   8 13 16 12 10 17 7 12 18 7 3
2018 Contract Condition   Yes Yes     Yes Yes Yes   Yes Yes  
Action   Yes No     Yes Yes Yes   Yes    
High 3.829 3.785 3.690 3.625 3.718 3.748 3.435 3.424 3.334 3.450 3.314  
Low 3.498 3.447 3.196 3.300 3.517 3.391 3.220 3.163 3.143 3.221 3.203  
Close/Last 3.780 3.553 3.326 3.557 3.630 3.400 3.356 3.173 3.326 3.295 3.234  

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