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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March 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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   21 22 23 23 23 23 23 23 23 23 23
Closed Higher   15 15 13 10 11 10 14 10 5 8 9
Exceeded High   15 13 9 5 10 9 11 3 4 8 8
Scenario Percentage   100% 87% 69% 50% 91% 90% 79% 30% 80% 100% 89%
Avg Max Increase   12.63% 11.07% 7.62% 15.64% 15.04% 12.17% 11.23% 21.02% 38.98% 34.15% 22.71%
Max Increase   49.20% 41.19% 14.43% 45.89% 59.17% 24.29% 23.36% 46.56% 57.64% 153.60% 112.29%
Avg Days To Max Increase   18 16 18 19 21 12 16 16 14 15 13
Avg Max Decline   -2.60% -2.43% -2.05% -2.25% -4.23% -2.31% -4.38% -3.34% -3.15% -4.03% -4.92%
Max Decline   -6.69% -8.60% -6.33% -5.69% -12.61% -5.93% -14.19% -6.98% -13.09% -15.72% -18.55%
Avg Days to Max Decline   8 8 9 8 10 7 11 4 8 6 2
2013 Contract Condition     Yes   Yes Yes   Yes Yes      
Action     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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   21 22 23 23 23 23 23 23 23 23 23
Closed Lower   6 7 10 13 12 13 9 13 18 15 14
Penetrated Low   6 5 8 9 11 11 8 10 15 14 10
Scenario Percentage   100% 71% 80% 69% 92% 85% 89% 77% 83% 93% 71%
Avg Max Decline   6.40% 5.27% 7.97% 10.84% 10.74% 11.38% 11.18% 15.76% 18.90% 18.78% 12.85%
Max Decline   17.90% 12.62% 17.21% 17.79% 23.20% 29.22% 20.59% 26.00% 36.08% 39.26% 29.56%
Avg Days To Max Decline   22 18 19 23 16 15 25 19 18 17 21
Avg Max Increase   -4.81% -3.71% -5.52% -3.41% -3.44% -2.28% -7.28% -5.03% -4.21% -4.05% -7.34%
Max Increase   -12.76% -7.89% -13.60% -10.34% -8.44% -10.34% -23.13% -26.05% -13.34% -37.04% -22.13%
Avg Days to Max Increase   14 9 12 17 9 8 11 6 7 4 4
2013 Contract Condition   Yes   Yes     Yes     Yes Yes Yes
Action   Yes   Yes     No     Yes Yes Not Yet
High 3.790 3.529 3.420 3.607 3.582 3.722 3.688 3.758 4.049 4.036 3.750 3.646
Low 3.370 3.263 3.052 3.231 3.122 3.400 3.210 3.224 3.729 3.555 3.337 3.100
Close/Last 3.539 3.325 3.326 3.306 3.484 3.673 3.364 3.752 3.794 3.573 3.365 3.339

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