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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for February Natural Gas(NYM) as of Dec 30, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   25 25 25 26 26 26 26 26 26 26 26
Closed Higher   16 16 17 12 10 11 10 13 10 7 10
Exceeded High   13 16 15 9 4 10 8 11 3 5 8
Scenario Percentage   81% 100% 88% 75% 40% 91% 80% 85% 30% 71% 80%
Avg Max Increase   13.09% 12.36% 10.05% 7.80% 17.67% 16.89% 17.86% 14.19% 26.82% 40.94% 15.65%
Max Increase   31.04% 47.84% 40.31% 14.47% 46.67% 62.28% 27.84% 34.35% 63.61% 61.54% 24.02%
Avg Days To Max Increase   17 17 14 19 16 21 16 19 16 17 14
Avg Max Decline   -1.79% -2.42% -2.39% -2.21% -2.16% -4.46% -2.07% -4.90% -3.48% -2.24% -0.00%
Max Decline   -6.55% -6.55% -8.99% -5.23% -5.63% -12.97% -5.91% -14.84% -7.41% -9.36% -6.55%
Avg Days to Max Decline   9 8 6 12 8 11 6 12 4 1 5
2016 Contract Condition       Yes   Yes           Yes
Action       Yes   No           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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   25 25 25 26 26 26 26 26 26 26 26
Closed Lower   9 9 8 13 15 15 16 13 16 19 16
Penetrated Low   5 9 6 11 12 13 13 12 13 16 13
Scenario Percentage   56% 100% 75% 85% 80% 87% 81% 92% 81% 84% 81%
Avg Max Decline   9.65% 6.75% 10.24% 9.81% 10.62% 10.81% 12.11% 12.53% 18.88% 22.23% 17.79%
Max Decline   13.86% 20.31% 26.74% 17.21% 19.37% 23.49% 29.36% 21.60% 28.29% 41.55% 30.96%
Avg Days To Max Decline   20 20 20 21 21 17 16 22 21 16 18
Avg Max Increase   -1.50% -4.10% -3.09% -4.71% -2.81% -3.39% -2.31% -6.81% -5.85% -4.75% -2.73%
Max Increase   -2.89% -11.49% -7.98% -13.78% -8.56% -8.87% -10.37% -27.12% -25.13% -16.00% -16.03%
Avg Days to Max Increase   10 15 8 10 16 7 7 11 8 7 6
2016 Contract Condition   Yes Yes   Yes   Yes Yes Yes Yes Yes  
Action   Yes Yes   Yes   Yes Yes Yes Yes Yes  
High 3.621 3.432 3.349 3.235 3.467 3.370 3.333 3.282 3.097 2.920 2.637 2.386
Low 3.255 3.206 3.157 3.013 3.105 3.070 3.133 2.981 2.832 2.382 2.228 1.802
Close/Last 3.285 3.265 3.174 3.222 3.115 3.238 3.146 3.013 2.842 2.513 2.290 2.337

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