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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June Live 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 39 43 44 45 45 45 45 45 45 45 45
Closed Higher 24 17 20 24 30 31 30 26 24 26 21
Exceeded High 15 14 18 19 25 29 23 21 19 18 13
Scenario Percentage 62% 82% 90% 79% 83% 94% 77% 81% 79% 69% 62%
Avg Max Increase 4.52% 3.18% 3.68% 4.37% 4.90% 4.61% 6.70% 6.65% 9.58% 7.77% 4.72%
Max Increase 11.99% 8.55% 7.95% 13.06% 16.47% 11.90% 17.54% 18.85% 23.53% 21.24% 9.92%
Avg Days To Max Increase 13 12 20 19 19 16 17 18 20 13 15
Avg Max Decline -1.28% -1.33% -1.48% -1.22% -1.54% -0.98% -1.27% -1.35% -1.20% -1.29% -1.36%
Max Decline -7.20% -3.06% -6.27% -3.45% -6.05% -3.21% -4.47% -4.17% -4.02% -6.83% -3.66%
Avg Days to Max Decline 6 10 11 13 11 9 6 6 7 6 4
2011 Contract Condition Yes Yes Yes Yes Yes Yes Yes Yes Yes    
Action Yes Yes Yes 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 39 43 44 45 45 45 45 45 45 45 45
Closed Lower 15 25 24 20 15 14 15 18 21 19 24
Penetrated Low 13 17 19 14 12 7 12 11 18 15 15
Scenario Percentage 87% 68% 79% 70% 80% 50% 80% 61% 86% 79% 62%
Avg Max Decline 5.27% 5.32% 4.41% 5.29% 5.81% 5.83% 5.74% 8.35% 7.43% 6.27% 10.19%
Max Decline 12.09% 18.54% 16.12% 16.03% 17.00% 14.34% 12.93% 14.79% 17.07% 22.77% 42.48%
Avg Days To Max Decline 14 15 15 12 14 19 21 21 18 13 15
Avg Max Increase -1.07% -0.77% -0.97% -1.32% -0.98% -1.98% -2.33% -0.71% -1.70% -1.21% -1.75%
Max Increase -4.24% -1.67% -3.34% -5.86% -3.17% -3.41% -4.60% -1.99% -5.92% -3.76% -7.18%
Avg Days to Max Increase 5 7 4 8 5 11 8 6 5 7 6
2011 Contract Condition                   Yes Yes
Action                   Yes Not Yet
High 96.030 100.050 100.800 104.000 106.650 109.885 115.500 116.700 121.000 121.635 113.980
Low 92.300 95.450 97.700 97.650 101.885 104.200 107.600 111.550 110.650 112.030 101.635
Close/Last 96.000 98.500 99.900 102.530 106.250 109.280 114.550 114.650 120.980 113.350 103.750

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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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