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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 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   25 26 26 26 26 26 26 26 26 26 26
Closed Higher   11 13 12 12 6 6 11 12 14 17 14
Exceeded High   5 11 9 9 4 5 10 11 10 17 9
Scenario Percentage   45% 85% 75% 75% 67% 83% 91% 92% 71% 100% 64%
Avg Max Increase   9.71% 12.48% 8.79% 7.70% 8.72% 13.91% 16.90% 17.42% 23.92% 16.02% 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 17 15
Avg Max Decline   -1.71% -2.91% -2.31% -4.10% -2.15% -3.35% -1.82% -3.23% -3.29% -4.78% -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 7 9 7 8 3
2016 Contract Condition   Yes           Yes     Yes Yes
Action   No           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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   25 26 26 26 26 26 26 26 26 26 26
Closed Lower   14 13 14 14 20 20 15 14 12 9 12
Penetrated Low   11 10 12 13 16 16 14 12 10 9 9
Scenario Percentage   79% 77% 86% 93% 80% 80% 93% 86% 83% 100% 75%
Avg Max Decline   8.02% 9.13% 9.07% 8.57% 12.45% 14.33% 11.02% 12.74% 11.28% 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 19 18 23 18 16 14 17 19 17 16
Avg Max Increase   -2.71% -1.99% -1.64% -4.15% -1.75% -2.24% -3.22% -5.65% -3.66% -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 4 9 12 5 6 7 7 16 7 4
2016 Contract Condition     Yes Yes Yes Yes Yes   Yes Yes    
Action     Yes Yes Yes Yes Yes   Yes Yes    
High 3.197 3.153 3.131 3.059 2.928 2.787 2.642 2.510 2.593 2.360 2.132 2.304
Low 2.984 2.963 2.988 2.832 2.724 2.427 2.384 2.147 2.275 1.863 1.844 1.972
Close/Last 2.988 3.090 2.995 2.862 2.731 2.527 2.437 2.468 2.405 1.896 2.054 2.178

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