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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   25 25 25 25 25 25 25 25 25 26 26
Closed Higher   12 14 8 6 9 13 16 16 16 12 11
Exceeded High   9 10 5 5 7 12 13 16 15 8 4
Scenario Percentage   75% 71% 63% 83% 78% 92% 81% 100% 94% 67% 36%
Avg Max Increase   9.19% 7.21% 6.70% 11.73% 17.93% 15.43% 18.40% 15.80% 14.52% 16.83% 11.08%
Max Increase   23.34% 15.36% 13.57% 26.45% 41.51% 29.66% 48.98% 52.12% 47.41% 28.82% 18.75%
Avg Days To Max Increase   19 18 15 19 21 24 17 16 14 19 17
Avg Max Decline   -2.31% -4.05% -1.59% -2.17% -1.54% -3.04% -2.75% -4.06% -5.09% -6.12% -4.40%
Max Decline   -4.89% -13.01% -4.20% -4.16% -5.68% -5.42% -6.66% -8.17% -12.70% -12.50% -12.28%
Avg Days to Max Decline   11 11 3 18 8 11 9 11 10 12 6
2015 Contract Condition   Yes           Yes   Yes   Yes
Action   No           No   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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   25 25 25 25 25 25 25 25 25 26 26
Closed Lower   13 11 17 19 16 12 9 9 9 14 15
Penetrated Low   11 10 13 16 13 9 7 9 7 13 12
Scenario Percentage   85% 91% 76% 84% 81% 75% 78% 100% 78% 93% 80%
Avg Max Decline   8.28% 7.92% 11.68% 12.56% 10.20% 11.95% 11.79% 10.02% 16.23% 15.59% 10.95%
Max Decline   21.05% 17.97% 22.09% 29.97% 28.66% 25.57% 23.91% 27.18% 36.75% 28.58% 16.43%
Avg Days To Max Decline   16 22 19 14 16 18 19 20 22 18 17
Avg Max Increase   -1.64% -2.92% -1.43% -2.04% -2.62% -5.68% -4.53% -5.07% -5.11% -7.70% -2.61%
Max Increase   -6.55% -5.65% -5.89% -7.11% -11.65% -11.28% -21.80% -11.46% -10.17% -14.97% -11.11%
Avg Days to Max Increase   10 11 4 6 5 11 12 12 10 10 5
2015 Contract Condition     Yes Yes Yes Yes Yes   Yes   Yes  
Action     Yes Yes Yes Yes Yes   Yes   Yes  
High 4.115 3.946 3.938 3.915 3.910 3.676 3.268 3.125 3.050 2.849 3.167 2.977
Low 3.763 3.798 3.788 3.550 3.650 3.025 2.789 2.746 2.750 2.569 2.656 2.588
Close/Last 3.824 3.930 3.900 3.724 3.677 3.026 2.823 2.880 2.782 2.820 2.665 2.832

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