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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   22 24 24 24 24 24 24 24 24 24 24
Closed Higher   13 11 13 11 13 8 7 9 11 14 17
Exceeded High   10 7 12 8 10 4 6 9 10 11 15
Scenario Percentage   77% 64% 92% 73% 77% 50% 86% 100% 91% 79% 88%
Avg Max Increase   7.43% 9.35% 11.86% 9.54% 7.44% 10.46% 18.70% 20.49% 18.95% 22.07% 10.75%
Max Increase   16.77% 27.44% 41.31% 23.54% 14.89% 22.06% 31.67% 62.43% 43.11% 54.87% 35.33%
Avg Days To Max Increase   19 17 20 18 18 17 19 18 21 13 15
Avg Max Decline   -1.51% -2.28% -2.80% -2.07% -4.30% -2.34% -1.91% -1.94% -3.76% -3.80% -4.18%
Max Decline   -4.89% -7.32% -11.20% -5.03% -13.36% -4.50% -4.42% -6.21% -7.50% -8.72% -8.03%
Avg Days to Max Decline   9 12 12 7 15 4 10 6 9 8 4
2014 Contract Condition         Yes     Yes Yes Yes Yes  
Action         Yes     Yes Yes Yes Not Yet  
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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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   22 24 24 24 24 24 24 24 24 24 24
Closed Lower   9 13 11 13 10 16 17 15 13 10 7
Penetrated Low   6 10 9 11 9 12 14 13 9 8 6
Scenario Percentage   67% 77% 82% 85% 90% 75% 82% 87% 69% 80% 86%
Avg Max Decline   6.73% 8.20% 9.49% 8.74% 8.69% 12.84% 14.52% 14.41% 14.89% 12.77% 6.61%
Max Decline   12.45% 14.66% 17.78% 22.61% 19.01% 23.62% 31.56% 34.01% 29.94% 27.60% 16.45%
Avg Days To Max Decline   23 19 18 17 24 19 16 16 20 14 13
Avg Max Increase   -5.00% -2.96% -1.91% -1.91% -5.26% -1.42% -2.83% -2.90% -6.93% -5.26% -4.81%
Max Increase   -13.25% -12.65% -5.64% -6.61% -20.13% -6.09% -9.12% -16.97% -13.73% -11.73% -11.84%
Avg Days to Max Increase   12 16 3 8 14 5 7 6 6 9 3
2014 Contract Condition   Yes Yes Yes   Yes Yes         Yes
Action   Yes Yes Yes   Yes Yes         Yes
High 4.233 4.253 4.102 3.991 3.891 3.993 4.012 3.917 4.229 4.488 4.893 4.669
Low 4.011 4.032 3.797 3.747 3.523 3.718 3.646 3.495 3.860 3.850 4.333 4.256
Close/Last 4.224 4.070 3.810 3.775 3.853 3.782 3.661 3.915 4.095 4.379 4.550 4.371

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