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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Natural Gas(NYM) as of Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   23 24 24 24 25 25 25 25 25 25 25
Closed Higher   14 16 16 17 13 10 11 12 14 9 6
Exceeded High   13 13 16 13 9 5 10 9 12 3 4
Scenario Percentage   93% 81% 100% 76% 69% 50% 91% 75% 86% 33% 67%
Avg Max Increase   11.35% 12.90% 12.29% 12.36% 8.13% 18.62% 18.19% 17.08% 15.33% 29.44% 45.38%
Max Increase   25.04% 31.64% 47.87% 40.48% 14.74% 48.16% 64.91% 28.43% 50.25% 70.50% 84.34%
Avg Days To Max Increase   22 18 17 15 17 18 22 14 18 17 22
Avg Max Decline   -2.20% -2.05% -2.59% -2.25% -2.91% -3.04% -4.41% -2.32% -4.91% -3.37% -3.14%
Max Decline   -4.28% -6.85% -6.57% -9.29% -6.74% -5.99% -13.28% -6.31% -15.91% -6.78% -11.07%
Avg Days to Max Decline   8 7 9 4 14 9 11 7 8 4 1
2014 Contract Condition   Yes Yes Yes Yes       Yes     Yes
Action   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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   23 24 24 24 25 25 25 25 25 25 25
Closed Lower   8 8 8 7 12 15 14 13 11 16 19
Penetrated Low   8 4 8 6 10 13 12 11 10 14 15
Scenario Percentage   100% 50% 100% 86% 83% 87% 86% 85% 91% 88% 79%
Avg Max Decline   6.92% 10.46% 7.30% 9.46% 10.91% 10.67% 11.53% 12.17% 14.04% 17.98% 12.46%
Max Decline   18.30% 13.87% 20.78% 26.58% 17.81% 21.28% 23.85% 29.96% 23.74% 26.88% 19.97%
Avg Days To Max Decline   11 21 21 21 23 23 16 15 21 15 13
Avg Max Increase   -2.83% -1.44% -4.52% -3.39% -5.23% -3.08% -3.91% -2.70% -7.49% -5.08% -4.20%
Max Increase   -8.42% -3.06% -11.41% -7.95% -13.60% -8.21% -9.78% -12.23% -25.00% -18.44% -14.45%
Avg Days to Max Increase   6 11 17 12 11 17 7 8 19 7 3
2014 Contract Condition           Yes Yes Yes   Yes Yes  
Action           Yes Yes Yes   Yes Yes  
High 4.283 4.255 4.144 4.480 4.778 4.825 4.360 4.137 3.990 4.125 4.092 3.962
Low 3.964 3.870 3.890 4.028 4.310 4.306 3.878 3.792 3.565 3.731 3.648 3.465
Close/Last 4.050 4.064 4.085 4.421 4.730 4.318 3.899 3.839 3.926 3.831 3.663 3.954

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