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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   24 24 24 24 24 24 24 24 25 25 25
Closed Higher   13 8 6 10 12 15 16 16 12 10 10
Exceeded High   9 5 5 9 12 14 16 15 8 7 9
Scenario Percentage   69% 63% 83% 90% 100% 93% 100% 94% 67% 70% 90%
Avg Max Increase   6.35% 6.54% 11.10% 15.21% 15.02% 17.09% 15.32% 14.67% 16.42% 16.23% 13.26%
Max Increase   14.51% 12.72% 25.70% 40.58% 29.66% 48.89% 51.66% 46.20% 29.47% 44.05% 28.45%
Avg Days To Max Increase   17 13 17 19 24 17 16 14 21 18 14
Avg Max Decline   -4.38% -1.74% -1.62% -1.10% -2.79% -2.62% -3.87% -4.78% -5.72% -7.23% -5.13%
Max Decline   -12.68% -4.35% -2.90% -5.36% -5.13% -6.78% -7.94% -12.27% -11.97% -18.51% -11.41%
Avg Days to Max Decline   12 4 12 8 12 8 8 10 11 10 4
2014 Contract Condition       Yes Yes Yes Yes   Yes      
Action       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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   24 24 24 24 24 24 24 24 25 25 25
Closed Lower   11 16 18 14 10 9 8 8 13 15 15
Penetrated Low   8 12 15 13 7 7 8 6 12 13 11
Scenario Percentage   73% 75% 83% 93% 70% 78% 100% 75% 92% 87% 73%
Avg Max Decline   8.70% 10.95% 11.58% 9.64% 13.74% 11.11% 9.61% 17.35% 17.25% 15.21% 12.98%
Max Decline   17.97% 22.07% 29.50% 28.61% 25.24% 22.92% 25.63% 35.19% 27.88% 31.54% 25.38%
Avg Days To Max Decline   21 16 12 17 26 19 20 24 23 17 19
Avg Max Increase   -2.92% -1.15% -2.08% -2.02% -6.08% -4.69% -5.17% -4.33% -7.46% -4.45% -5.40%
Max Increase   -5.63% -5.87% -6.49% -10.41% -10.77% -23.15% -11.31% -10.27% -14.77% -13.49% -16.17%
Avg Days to Max Increase   12 5 6 5 12 11 13 10 13 18 4
2014 Contract Condition   Yes Yes         Yes   Yes Yes Yes
Action   Yes Yes         Yes   Yes Yes Not Yet
High 3.960 4.039 4.072 3.973 4.290 4.460 4.843 4.661 4.845 4.817 4.874 4.467
Low 3.650 3.800 3.723 3.582 3.925 3.923 4.383 4.307 4.280 4.264 4.357 3.725
Close/Last 3.931 3.855 3.738 3.970 4.145 4.393 4.557 4.420 4.813 4.492 4.440 3.841

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