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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, 2015
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   23 24 24 24 24 24 24 24 24 24 25
Closed Higher   12 11 12 7 6 10 13 14 16 15 12
Exceeded High   10 9 9 5 5 8 12 11 16 14 7
Scenario Percentage   83% 82% 75% 71% 83% 80% 92% 79% 100% 93% 58%
Avg Max Increase   12.91% 8.80% 7.54% 6.79% 12.61% 18.80% 16.19% 21.43% 16.03% 13.76% 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 17 21 24 18 16 12 13
Avg Max Decline   -3.16% -2.33% -4.15% -1.69% -3.69% -1.63% -3.30% -2.90% -4.83% -5.26% -3.10%
Max Decline   -10.94% -4.34% -12.87% -4.64% -11.21% -5.67% -6.30% -7.01% -8.65% -14.73% -12.76%
Avg Days to Max Decline   13 10 12 4 21 8 9 8 11 7 2
2014 Contract Condition     Yes     Yes Yes Yes Yes   Yes  
Action     Yes     Yes Yes 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   23 24 24 24 24 24 24 24 24 24 25
Closed Lower   11 13 10 16 18 14 11 9 8 9 13
Penetrated Low   10 12 9 11 14 12 8 6 8 7 9
Scenario Percentage   91% 92% 90% 69% 78% 86% 73% 67% 100% 78% 69%
Avg Max Decline   8.35% 7.78% 8.07% 12.07% 12.93% 10.86% 13.88% 14.68% 11.24% 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   20 15 23 18 14 18 23 22 17 16 18
Avg Max Increase   -1.76% -1.25% -5.04% -1.17% -2.46% -2.55% -6.36% -5.20% -4.68% -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 8 7 5
2014 Contract Condition   Yes   Yes Yes         Yes   Yes
Action   Yes   Yes Yes         Yes   Not Yet
High 4.170 4.049 3.947 4.016 4.066 3.974 4.273 4.521 4.915 4.708 4.877 4.851
Low 3.872 3.816 3.600 3.786 3.719 3.581 3.925 3.910 4.370 4.324 4.293 4.297
Close/Last 3.884 3.843 3.915 3.844 3.734 3.971 4.145 4.418 4.599 4.444 4.843 4.542

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