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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Value Line Index as of Jun 01, 2011
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
Tested Years 27 28 28 28 28 28 28 28 28 28 28
Closed Higher 16 17 20 17 20 14 15 16 14 17 19
Exceeded High 15 15 19 15 16 11 14 13 13 14 18
Scenario Percentage 94% 88% 95% 88% 80% 79% 93% 81% 93% 82% 95%
Avg Max Increase 6.11% 6.28% 7.70% 7.06% 5.57% 7.65% 5.38% 3.70% 5.83% 7.82% 3.41%
Max Increase 15.44% 17.48% 33.19% 16.79% 13.56% 20.82% 15.64% 11.05% 15.24% 16.53% 8.68%
Avg Days To Max Increase 18 18 21 16 20 19 17 18 18 22 18
Avg Max Decline -0.66% -0.71% -1.81% -1.07% -1.22% -1.32% -2.05% -1.68% -2.52% -1.15% -0.68%
Max Decline -3.00% -4.88% -7.92% -3.64% -6.08% -7.10% -7.87% -3.68% -10.95% -5.52% -3.13%
Avg Days to Max Decline 7 4 10 6 9 4 12 11 5 7 3
2010 Contract Condition   Yes Yes Yes     Yes   Yes Yes Yes
Action   Yes Yes No     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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 27 28 28 28 28 28 28 28 28 28 28
Closed Lower 11 10 8 11 8 13 13 12 14 11 9
Penetrated Low 7 6 7 5 6 8 10 8 10 5 8
Scenario Percentage 64% 60% 88% 45% 75% 62% 77% 67% 71% 45% 89%
Avg Max Decline 8.22% 7.89% 4.41% 5.55% 9.53% 12.35% 10.42% 8.22% 12.75% 7.91% 14.31%
Max Decline 23.24% 12.75% 8.19% 14.21% 27.57% 21.86% 23.80% 20.76% 46.76% 32.20% 30.84%
Avg Days To Max Decline 14 13 13 18 20 18 18 17 21 12 11
Avg Max Increase -1.95% -1.09% -0.99% -1.44% -1.92% -1.08% -1.64% -3.31% -1.52% -1.87% -4.40%
Max Increase -7.08% -3.08% -2.71% -2.11% -3.34% -3.19% -6.71% -10.04% -3.49% -3.72% -9.17%
Avg Days to Max Increase 3 7 6 7 16 6 8 14 12 9 23
2010 Contract Condition Yes       Yes Yes   Yes      
Action Yes       Yes Yes   No      
High 2356.40 2312.60 2511.10 2697.40 2646.40 2462.20 2460.20 2444.10 2535.80 2633.80 2718.60
Low 2190.20 2127.00 2301.10 2481.50 2252.80 2218.10 2163.10 2206.40 2256.80 2471.90 2574.60
Close/Last 2194.10 2296.00 2478.00 2600.50 2400.50 2222.30 2394.80 2240.00 2504.80 2601.10 2658.20

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Do you want a quick & easy look at what difference the nearby delivery month is trading against the next several deliveries in your market of choice? Go to the the Spreads Matrix to find out. Do you want to see whether another delivery month might be more tradeable, entail less risk, give you a better hedge, offer more opportunity? Look at the Spreads Matrix. Is a given spread leading or lagging? Check the Spreads Matrix!