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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June Natural Gas(NYM) as of Jan 01, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   24 25 25 25 25 25 25 25 25 25 25
Closed Higher   10 13 12 12 6 6 10 12 14 16 13
Exceeded High   5 11 9 9 4 5 9 11 10 16 9
Scenario Percentage   50% 85% 75% 75% 67% 83% 90% 92% 71% 100% 69%
Avg Max Increase   9.71% 12.48% 8.79% 7.70% 8.72% 13.91% 18.21% 17.42% 23.92% 16.26% 16.29%
Max Increase   27.75% 40.81% 22.49% 14.62% 16.75% 26.34% 49.02% 34.72% 54.16% 52.28% 43.27%
Avg Days To Max Increase   14 21 18 19 17 17 18 22 17 16 15
Avg Max Decline   -1.71% -2.91% -2.31% -4.10% -2.15% -3.35% -1.70% -3.23% -3.29% -4.83% -2.92%
Max Decline   -3.16% -10.98% -4.34% -13.06% -4.32% -10.51% -5.83% -6.29% -8.24% -9.02% -8.56%
Avg Days to Max Decline   10 12 11 12 4 26 8 9 7 7 3
2015 Contract Condition       Yes           Yes   Yes
Action       No           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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   24 25 25 25 25 25 25 25 25 25 25
Closed Lower   14 12 13 13 19 19 15 13 11 9 12
Penetrated Low   11 9 11 12 15 15 14 11 9 9 9
Scenario Percentage   79% 75% 85% 92% 79% 79% 93% 85% 82% 100% 75%
Avg Max Decline   8.02% 9.14% 8.52% 8.22% 12.27% 14.50% 11.02% 11.78% 11.93% 9.82% 7.82%
Max Decline   14.02% 17.20% 22.34% 18.69% 23.19% 31.08% 29.74% 28.30% 26.89% 22.12% 15.87%
Avg Days To Max Decline   18 18 17 23 18 16 14 18 21 17 16
Avg Max Increase   -2.71% -1.97% -1.58% -4.32% -1.56% -2.35% -3.22% -6.33% -3.95% -4.81% -2.86%
Max Increase   -12.48% -5.35% -7.18% -19.06% -6.16% -8.25% -15.44% -12.38% -20.14% -11.59% -8.82%
Avg Days to Max Increase   12 3 9 12 4 6 7 8 18 7 4
2015 Contract Condition   Yes Yes   Yes Yes Yes Yes Yes   Yes  
Action   Yes No   Yes Yes Yes Yes Yes   Yes  
High 4.238 4.261 4.082 3.910 3.905 3.885 3.872 3.652 3.229 3.096 2.982 2.770
Low 4.000 4.043 3.720 3.742 3.740 3.497 3.615 2.952 2.719 2.671 2.661 2.481
Close/Last 4.099 4.066 3.780 3.896 3.868 3.680 3.642 2.953 2.755 2.812 2.691 2.751

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