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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   22 23 23 23 23 23 23 23 23 23 24
Closed Higher   12 10 12 7 5 9 12 13 16 14 12
Exceeded High   10 8 9 5 4 7 11 11 16 13 7
Scenario Percentage   83% 80% 75% 71% 80% 78% 92% 85% 100% 93% 58%
Avg Max Increase   12.91% 9.42% 7.54% 6.79% 12.29% 18.84% 16.64% 21.43% 16.03% 14.75% 9.54%
Max Increase   40.16% 22.45% 15.07% 13.68% 26.86% 45.30% 32.40% 51.42% 53.57% 45.35% 19.70%
Avg Days To Max Increase   21 18 18 15 14 21 24 18 16 12 13
Avg Max Decline   -3.16% -2.21% -4.15% -1.69% -4.23% -1.05% -3.51% -2.90% -4.83% -4.80% -3.10%
Max Decline   -10.94% -4.34% -12.87% -4.64% -11.21% -5.20% -6.30% -7.01% -8.65% -14.73% -12.76%
Avg Days to Max Decline   13 8 12 4 16 8 10 8 11 7 2
2013 Contract Condition   Yes   Yes Yes     Yes Yes Yes Yes  
Action   Yes   Yes Yes     Yes Yes Yes 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   22 23 23 23 23 23 23 23 23 23 24
Closed Lower   10 13 9 15 18 14 11 9 7 9 12
Penetrated Low   9 12 8 10 14 12 8 6 7 7 9
Scenario Percentage   90% 92% 89% 67% 78% 86% 73% 67% 100% 78% 75%
Avg Max Decline   8.57% 7.78% 8.23% 12.87% 12.93% 10.86% 13.88% 14.68% 12.37% 13.45% 10.05%
Max Decline   16.71% 21.80% 18.48% 22.56% 30.46% 28.87% 26.72% 25.30% 28.35% 28.02% 14.06%
Avg Days To Max Decline   21 15 26 19 14 18 23 22 19 16 18
Avg Max Increase   -1.98% -1.25% -4.95% -1.31% -2.46% -2.55% -6.36% -5.20% -5.30% -4.47% -4.33%
Max Increase   -5.10% -3.76% -19.21% -5.86% -7.26% -12.14% -11.88% -20.94% -11.42% -10.19% -13.44%
Avg Days to Max Increase   3 12 14 3 7 5 9 14 9 7 5
2013 Contract Condition     Yes     Yes Yes         Yes
Action     No     Yes Yes         Yes
High 3.652 3.781 3.754 3.835 4.071 4.077 3.846 3.810 3.695 4.205 4.497 4.499
Low 3.256 3.497 3.330 3.350 3.798 3.676 3.500 3.336 3.382 3.569 3.963 3.933
Close/Last 3.559 3.739 3.473 3.828 3.880 3.693 3.562 3.574 3.634 4.113 4.394 3.984

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