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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 Oct 31, 2017
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   26 26 26 27 27 27 27 27 27 27 27
Closed Higher   16 17 18 12 11 11 10 13 10 8 11
Exceeded High   13 17 16 9 5 10 8 11 3 6 8
Scenario Percentage   81% 100% 89% 75% 45% 91% 80% 85% 30% 75% 73%
Avg Max Increase   13.09% 12.28% 10.04% 7.80% 14.40% 16.89% 17.86% 14.19% 26.82% 37.63% 16.23%
Max Increase   31.04% 47.84% 40.31% 14.47% 46.67% 62.28% 27.84% 34.35% 63.61% 61.54% 28.65%
Avg Days To Max Increase   17 17 15 19 13 21 16 19 16 19 14
Avg Max Decline   -1.79% -2.35% -2.73% -2.21% -1.88% -4.46% -2.07% -4.90% -3.48% -2.21% -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 7 7 12 6 11 6 12 4 4 5
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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   26 26 26 27 27 27 27 27 27 27 27
Closed Lower   10 9 8 14 15 16 17 14 17 19 16
Penetrated Low   5 9 6 11 12 14 14 13 14 16 13
Scenario Percentage   50% 100% 75% 79% 80% 88% 82% 93% 82% 84% 81%
Avg Max Decline   9.65% 6.75% 10.24% 9.81% 10.62% 10.61% 11.66% 12.77% 18.54% 22.57% 18.24%
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 21 20 18 20
Avg Max Increase   -1.50% -4.10% -3.09% -4.71% -2.81% -3.17% -2.90% -7.23% -5.42% -4.75% -2.73%
Max Increase   -2.89% -11.49% -7.98% -13.78% -8.56% -8.87% -10.56% -27.12% -25.13% -16.00% -16.03%
Avg Days to Max Increase   10 15 8 10 16 7 9 12 7 7 6
2018 Contract Condition   Yes     Yes Yes Yes   Yes Yes    
Action   No     Yes Yes Yes   Yes Not Yet    
High 3.738 3.655 3.581 3.672 3.707 3.412 3.402 3.326 3.446 3.321    
Low 3.417 3.179 3.290 3.489 3.375 3.205 3.155 3.132 3.224 3.020    
Close/Last 3.519 3.304 3.514 3.595 3.381 3.336 3.164 3.321 3.299 3.030    

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