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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Natural Gas(NYM) as of Mar 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   25 26 26 26 26 26 26 26 26 26 27
Closed Higher   12 12 12 7 6 11 13 15 17 17 12
Exceeded High   10 9 9 5 5 9 12 11 17 16 8
Scenario Percentage   83% 75% 75% 71% 83% 82% 92% 73% 100% 94% 67%
Avg Max Increase   12.91% 8.80% 7.54% 6.79% 12.61% 17.27% 16.19% 21.43% 15.84% 14.60% 11.41%
Max Increase   40.16% 22.45% 15.07% 13.68% 26.86% 45.30% 32.40% 51.42% 53.57% 49.30% 21.64%
Avg Days To Max Increase   21 18 18 15 17 19 24 18 16 14 15
Avg Max Decline   -3.16% -2.33% -4.15% -1.69% -3.69% -1.77% -3.30% -2.90% -4.75% -5.79% -4.03%
Max Decline   -10.94% -4.34% -12.87% -4.64% -11.21% -5.67% -6.30% -7.01% -8.65% -14.73% -12.76%
Avg Days to Max Decline   13 10 12 4 21 8 9 8 11 11 3
2017 Contract Condition   Yes     Yes Yes Yes     Yes    
Action   No     Yes Yes 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   25 26 26 26 26 26 26 26 26 26 27
Closed Lower   13 14 12 18 20 15 13 10 9 9 15
Penetrated Low   11 13 11 13 16 13 10 7 9 7 10
Scenario Percentage   85% 93% 92% 72% 80% 87% 77% 70% 100% 78% 67%
Avg Max Decline   8.39% 8.30% 8.53% 12.77% 13.53% 10.74% 13.51% 13.21% 10.85% 14.35% 10.38%
Max Decline   16.71% 21.80% 18.48% 22.56% 30.46% 28.87% 26.72% 25.30% 28.35% 34.31% 20.03%
Avg Days To Max Decline   21 16 21 19 15 17 22 20 18 17 17
Avg Max Increase   -1.79% -1.54% -2.88% -1.71% -2.97% -3.00% -6.06% -4.67% -4.45% -4.47% -4.21%
Max Increase   -5.10% -6.49% -5.78% -5.86% -16.99% -12.14% -11.88% -20.94% -11.42% -10.19% -13.44%
Avg Days to Max Increase   4 12 11 4 6 6 9 12 7 7 5
2017 Contract Condition     Yes Yes       Yes Yes      
Action     No Yes       Yes Not Yet      
High 3.086 3.142 3.111 3.136 3.349 3.311 3.638 3.577 3.413 3.381    
Low 2.917 2.985 2.942 2.972 3.008 2.809 3.239 3.187 2.888 3.002    
Close/Last 3.084 3.095 3.045 3.022 3.126 3.269 3.586 3.300 3.027 3.316    

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