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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Natural Gas(NYM) as of Jan 01, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   23 25 25 25 25 25 25 25 25 25 25
Closed Higher   13 11 13 12 13 8 7 9 11 15 17
Exceeded High   10 7 12 8 10 4 6 9 10 11 15
Scenario Percentage   77% 64% 92% 67% 77% 50% 86% 100% 91% 73% 88%
Avg Max Increase   7.43% 9.35% 11.86% 9.54% 7.44% 10.46% 18.70% 20.49% 18.95% 22.07% 10.75%
Max Increase   16.77% 27.44% 41.31% 23.54% 14.89% 22.06% 31.67% 62.43% 43.11% 54.87% 35.33%
Avg Days To Max Increase   19 17 20 18 18 17 19 18 21 13 15
Avg Max Decline   -1.51% -2.28% -2.80% -2.07% -4.30% -2.34% -1.91% -1.94% -3.76% -3.80% -4.18%
Max Decline   -4.89% -7.32% -11.20% -5.03% -13.36% -4.50% -4.42% -6.21% -7.50% -8.72% -8.03%
Avg Days to Max Decline   9 12 12 7 15 4 10 6 9 8 4
2015 Contract Condition         Yes           Yes  
Action         No           Not Yet  
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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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   23 25 25 25 25 25 25 25 25 25 25
Closed Lower   10 14 12 13 11 17 18 16 14 10 8
Penetrated Low   7 11 9 11 10 13 15 14 10 8 7
Scenario Percentage   70% 79% 75% 85% 91% 76% 83% 88% 71% 80% 88%
Avg Max Decline   7.17% 8.28% 9.49% 8.74% 8.82% 13.43% 15.29% 14.08% 13.79% 12.77% 6.73%
Max Decline   12.45% 14.66% 17.78% 22.61% 19.01% 23.62% 31.56% 34.01% 29.94% 27.60% 16.45%
Avg Days To Max Decline   24 20 18 17 24 20 17 15 21 14 15
Avg Max Increase   -4.84% -2.73% -1.91% -1.91% -4.78% -1.74% -2.67% -3.42% -7.54% -5.26% -4.55%
Max Increase   -13.25% -12.65% -5.64% -6.61% -20.13% -6.09% -9.12% -16.97% -13.73% -11.73% -11.84%
Avg Days to Max Increase   13 14 3 8 13 5 6 6 8 9 2
2015 Contract Condition   Yes Yes Yes   Yes Yes Yes Yes Yes   Yes
Action   Yes Yes No   Yes Yes Yes Yes Yes   Yes
High 4.211 4.221 4.239 4.061 3.885 3.883 3.865 3.853 3.632 3.200 3.068 2.949
Low 3.965 3.980 4.017 3.678 3.710 3.720 3.462 3.598 2.902 2.675 2.620 2.608
Close/Last 4.188 4.079 4.043 3.747 3.875 3.845 3.650 3.618 2.904 2.714 2.771 2.640

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