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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for April Feeder Cattle(CME) 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years 12 28 34 35 35 37 37 39 39 39 39
Closed Higher 7 16 22 18 17 14 21 23 25 22 20
Exceeded High 7 15 15 14 14 9 19 22 21 17 17
Scenario Percentage 100% 94% 68% 78% 82% 64% 90% 96% 84% 77% 85%
Avg Max Increase 5.49% 4.80% 3.53% 3.95% 4.27% 5.01% 4.99% 5.75% 6.13% 7.73% 4.20%
Max Increase 9.27% 9.99% 8.89% 10.58% 8.15% 10.94% 10.71% 16.45% 18.88% 21.09% 13.09%
Avg Days To Max Increase 19 19 16 14 21 20 19 16 17 11 13
Avg Max Decline -3.37% -0.86% -1.17% -1.37% -1.15% -1.31% -1.39% -1.25% -1.73% -1.50% -0.84%
Max Decline -9.58% -2.54% -4.91% -5.68% -4.22% -3.55% -4.91% -6.72% -5.36% -4.58% -4.35%
Avg Days to Max Decline 10 10 9 9 10 7 10 8 10 5 1
2011 Contract Condition   Yes Yes Yes   Yes Yes Yes Yes Yes Yes
Action   Yes Yes No   Yes Yes 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years 12 28 34 35 35 37 37 39 39 39 39
Closed Lower 5 12 12 17 18 22 16 16 14 17 19
Penetrated Low 5 8 9 11 16 15 9 10 10 12 11
Scenario Percentage 100% 67% 75% 65% 89% 68% 56% 62% 71% 71% 58%
Avg Max Decline 3.16% 5.52% 4.96% 3.82% 5.05% 6.72% 7.23% 6.93% 7.88% 8.14% 8.01%
Max Decline 8.48% 10.47% 14.00% 14.09% 15.76% 18.71% 17.23% 15.62% 16.52% 13.35% 25.27%
Avg Days To Max Decline 19 11 14 14 19 17 16 21 22 13 15
Avg Max Increase -0.71% -1.19% -2.05% -1.18% -0.85% -1.26% -0.98% -1.54% -2.16% -0.40% -1.42%
Max Increase -3.76% -4.71% -6.32% -2.92% -2.23% -3.41% -3.15% -3.59% -6.35% -2.82% -5.67%
Avg Days to Max Increase 6 5 11 10 8 13 6 9 7 4 4
2011 Contract Condition Yes       Yes            
Action Yes       Yes            
High 112.250 110.900 112.100 116.250 115.000 114.850 120.780 125.530 130.500 133.500 138.000
Low 106.900 106.500 109.885 111.250 109.700 108.000 111.900 118.450 122.635 124.650 127.650
Close/Last 106.900 110.400 112.100 114.450 112.550 113.150 120.400 124.835 129.075 131.780 137.800

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Seasonal AVERAGE charts for both CORN, SOYBEANS & FEEDER CATTLE.

Being able to see at what average spread different delivery months trade --- and when --- can help producers better hedge their livestock and traders to find spread value.

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