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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for April Natural Gas(NYM) as of Dec 30, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   24 26 26 26 26 26 26 26 26 26 26
Closed Higher   16 14 12 12 12 14 8 6 10 11 14
Exceeded High   13 10 7 10 9 11 4 5 9 10 10
Scenario Percentage   81% 71% 58% 83% 75% 79% 50% 83% 90% 91% 71%
Avg Max Increase   9.58% 6.43% 9.41% 11.56% 9.43% 8.19% 13.16% 26.97% 25.07% 22.80% 16.12%
Max Increase   40.87% 14.45% 30.16% 44.89% 22.81% 17.16% 32.21% 36.90% 91.38% 61.63% 51.04%
Avg Days To Max Increase   15 17 16 20 16 17 17 23 20 16 19
Avg Max Decline   -2.36% -1.72% -1.77% -3.39% -2.62% -4.43% -3.16% -2.18% -3.33% -3.65% -3.47%
Max Decline   -7.88% -4.92% -3.92% -11.95% -6.23% -13.58% -5.63% -5.51% -10.03% -9.15% -10.23%
Avg Days to Max Decline   5 10 10 13 6 15 6 3 8 5 4
2016 Contract Condition   Yes   Yes           Yes    
Action   Yes   No           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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   24 26 26 26 26 26 26 26 26 26 26
Closed Lower   7 12 14 14 14 12 18 20 16 15 12
Penetrated Low   3 7 10 10 12 11 15 17 14 13 10
Scenario Percentage   43% 58% 71% 71% 86% 92% 83% 85% 88% 87% 83%
Avg Max Decline   3.50% 7.84% 8.91% 9.97% 9.89% 10.33% 13.60% 16.59% 15.76% 13.76% 9.83%
Max Decline   5.13% 14.17% 14.58% 19.01% 23.69% 19.10% 24.24% 32.58% 36.48% 31.64% 19.74%
Avg Days To Max Decline   19 21 21 17 15 24 19 17 16 20 17
Avg Max Increase   -2.09% -4.84% -3.48% -2.22% -1.99% -4.83% -2.21% -3.51% -4.08% -7.47% -3.20%
Max Increase   -5.58% -12.86% -13.78% -5.75% -7.55% -21.08% -6.65% -11.97% -23.19% -15.47% -12.03%
Avg Days to Max Increase   8 10 14 3 8 11 4 5 5 8 4
2016 Contract Condition     Yes   Yes Yes Yes Yes Yes   Yes Yes
Action     Yes   Yes Yes Yes Yes Yes   Yes Yes
High 3.147 3.029 3.190 3.141 3.110 3.056 2.912 2.746 2.581 2.426 2.512 2.279
Low 2.978 2.879 2.936 2.903 2.955 2.801 2.680 2.337 2.289 2.017 2.144 1.690
Close/Last 2.995 3.011 2.945 3.049 2.966 2.838 2.688 2.451 2.346 2.387 2.332 1.711

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