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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, 2015
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   23 23 23 24 24 24 24 24 24 24 24
Closed Higher   15 16 15 12 9 11 9 13 10 6 9
Exceeded High   13 16 14 9 4 10 8 11 3 5 7
Scenario Percentage   87% 100% 93% 75% 44% 91% 89% 85% 30% 83% 78%
Avg Max Increase   13.09% 12.36% 10.23% 7.80% 17.67% 16.89% 17.86% 14.19% 26.82% 41.93% 17.59%
Max Increase   31.04% 47.84% 40.31% 14.47% 46.67% 62.28% 27.84% 34.35% 63.61% 61.54% 28.65%
Avg Days To Max Increase   17 17 14 19 16 21 16 19 16 17 15
Avg Max Decline   -1.79% -2.42% -2.51% -2.21% -2.16% -4.46% -2.07% -4.90% -3.48% -2.24% 0.60%
Max Decline   -6.55% -6.55% -8.99% -5.23% -5.63% -12.97% -5.91% -14.84% -7.41% -9.36% -6.55%
Avg Days to Max Decline   9 8 7 12 8 11 6 12 4 1 6
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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   23 23 23 24 24 24 24 24 24 24 24
Closed Lower   8 7 8 11 14 13 15 11 14 18 15
Penetrated Low   4 7 6 9 11 12 12 10 11 15 12
Scenario Percentage   50% 100% 75% 82% 79% 92% 80% 91% 79% 83% 80%
Avg Max Decline   10.13% 7.48% 10.24% 10.16% 10.36% 10.88% 11.37% 11.62% 17.28% 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 23 20 16 15 21 20 18 20
Avg Max Increase   -1.23% -3.94% -3.09% -4.95% -3.03% -3.32% -2.27% -7.78% -4.88% -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 10 17 7 6 12 6 8 5
2014 Contract Condition         Yes Yes Yes   Yes Yes    
Action         Yes Yes Yes   Yes Yes    
High 4.216 4.138 4.432 4.720 4.770 4.339 4.130 3.994 4.120 4.096 3.963 4.578
Low 3.875 3.903 4.055 4.314 4.298 3.885 3.799 3.570 3.734 3.655 3.476 3.902
Close/Last 4.061 4.083 4.393 4.685 4.300 3.903 3.844 3.928 3.837 3.672 3.957 4.230

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