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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for February Natural Gas(NYM) as of Jan 01, 2014
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 Dec
Tested Years   22 22 22 23 23 23 23 23 23 23 23
Closed Higher   14 15 14 12 9 11 8 13 10 5 8
Exceeded High   12 15 13 9 4 10 7 11 3 4 6
Scenario Percentage   86% 100% 93% 75% 44% 91% 88% 85% 30% 80% 75%
Avg Max Increase   12.88% 12.62% 10.87% 7.80% 17.67% 16.89% 19.71% 14.19% 26.82% 43.03% 15.74%
Max Increase   31.04% 47.84% 40.31% 14.47% 46.67% 62.28% 27.84% 34.35% 63.61% 61.54% 22.15%
Avg Days To Max Increase   16 18 15 19 16 21 16 19 16 15 13
Avg Max Decline   -1.88% -2.47% -2.67% -2.21% -2.16% -4.46% -2.07% -4.90% -3.48% -2.45% 1.79%
Max Decline   -6.55% -6.55% -8.99% -5.23% -5.63% -12.97% -5.91% -14.84% -7.41% -9.36% -1.88%
Avg Days to Max Decline   9 8 7 12 8 11 6 12 4 1 5
2013 Contract Condition   Yes   Yes   Yes Yes   Yes Yes    
Action   No   Yes   Yes Yes   Yes No    
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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 Dec
Tested Years   22 22 22 23 23 23 23 23 23 23 23
Closed Lower   8 7 8 10 13 12 15 10 13 18 15
Penetrated Low   4 7 6 8 10 11 12 9 10 15 12
Scenario Percentage   50% 100% 75% 80% 77% 92% 80% 90% 77% 83% 80%
Avg Max Decline   10.13% 7.48% 10.24% 9.98% 10.55% 11.22% 11.37% 11.87% 18.47% 22.66% 19.40%
Max Decline   13.86% 20.31% 26.74% 17.21% 19.37% 23.49% 29.36% 21.56% 27.37% 41.55% 30.96%
Avg Days To Max Decline   21 22 20 22 21 16 15 23 21 18 20
Avg Max Increase   -1.23% -3.94% -3.09% -5.45% -2.75% -3.59% -2.27% -7.90% -5.41% -5.01% -1.62%
Max Increase   -2.89% -11.49% -7.98% -13.78% -8.56% -8.87% -10.37% -27.12% -25.13% -16.00% -10.99%
Avg Days to Max Increase   11 15 8 11 17 8 6 12 7 8 5
2013 Contract Condition     Yes   Yes     Yes     Yes Yes
Action     Yes   Yes     No     Yes Yes
High 3.968 3.793 3.552 3.440 3.630 3.615 3.763 3.715 3.790 4.090 4.074 3.765
Low 3.323 3.402 3.281 3.079 3.252 3.142 3.438 3.222 3.241 3.765 3.570 3.316
Close/Last 3.509 3.560 3.342 3.349 3.326 3.509 3.702 3.375 3.780 3.827 3.584 3.351

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