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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   26 26 26 26 26 26 27 27 27 27 27
Closed Higher   7 12 12 17 17 18 13 12 11 12 14
Exceeded High   5 9 12 13 17 15 8 6 9 10 13
Scenario Percentage   71% 75% 100% 76% 100% 83% 62% 50% 82% 83% 93%
Avg Max Increase   11.20% 13.62% 13.08% 15.22% 13.46% 12.82% 9.66% 18.50% 23.70% 15.52% 10.27%
Max Increase   25.82% 36.54% 27.29% 40.36% 49.68% 42.55% 17.99% 61.21% 71.77% 29.34% 24.50%
Avg Days To Max Increase   12 20 25 19 17 15 19 20 19 13 17
Avg Max Decline   -1.15% -1.40% -2.60% -1.97% -2.80% -4.03% -5.84% -5.21% -6.20% -3.30% -5.15%
Max Decline   -2.54% -5.09% -5.09% -7.06% -7.12% -11.02% -16.13% -16.70% -20.10% -7.84% -14.71%
Avg Days to Max Decline   10 6 13 6 7 8 13 9 10 8 5
2016 Contract Condition     Yes     Yes Yes   Yes      
Action     Yes     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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   26 26 26 26 26 26 27 27 27 27 27
Closed Lower   19 14 14 9 9 8 14 15 16 15 13
Penetrated Low   16 12 11 5 8 6 11 13 13 14 11
Scenario Percentage   84% 86% 79% 56% 89% 75% 79% 87% 81% 93% 85%
Avg Max Decline   11.10% 8.63% 9.59% 11.51% 8.47% 11.46% 12.50% 12.88% 14.16% 15.67% 9.39%
Max Decline   27.32% 24.57% 20.93% 16.57% 23.43% 30.43% 22.33% 26.51% 25.58% 35.90% 18.78%
Avg Days To Max Decline   14 16 20 21 20 22 20 23 15 14 16
Avg Max Increase   -1.79% -2.36% -4.31% -1.75% -4.11% -3.92% -6.83% -3.57% -5.01% -4.49% -3.86%
Max Increase   -5.70% -8.20% -10.46% -3.88% -11.43% -9.07% -14.01% -9.10% -11.98% -12.58% -15.83%
Avg Days to Max Increase   6 9 7 6 11 10 12 17 7 11 4
2016 Contract Condition   Yes   Yes Yes     Yes   Yes Yes Yes
Action   Yes   Yes No     No   Yes Yes Yes
High 2.934 2.786 2.671 2.747 2.544 2.559 2.774 2.736 3.118 3.148 3.075 3.166
Low 2.628 2.545 2.361 2.476 2.168 2.220 2.424 2.460 2.712 2.817 2.767 2.802
Close/Last 2.706 2.597 2.616 2.573 2.232 2.465 2.730 2.722 3.085 3.076 3.003 2.906

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