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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 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   26 26 26 26 26 26 26 26 27 27 27
Closed Higher   13 8 6 11 12 16 17 18 12 12 10
Exceeded High   9 5 5 10 12 14 17 17 8 8 9
Scenario Percentage   69% 63% 83% 91% 100% 88% 100% 94% 67% 67% 90%
Avg Max Increase   6.35% 6.54% 11.10% 14.17% 15.02% 17.09% 15.18% 14.86% 16.42% 14.51% 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 18 24 17 16 15 21 16 14
Avg Max Decline   -4.38% -1.74% -1.62% -1.27% -2.79% -2.62% -3.78% -4.91% -5.72% -6.48% -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 7 12 8 8 10 11 9 4
2016 Contract Condition         Yes     Yes Yes   Yes  
Action         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   26 26 26 26 26 26 26 26 27 27 27
Closed Lower   13 18 20 15 12 10 9 8 15 15 17
Penetrated Low   10 14 17 14 9 8 9 6 13 13 13
Scenario Percentage   77% 78% 85% 93% 75% 80% 100% 75% 87% 87% 76%
Avg Max Decline   9.03% 11.69% 12.22% 9.60% 13.05% 10.19% 9.33% 17.35% 16.14% 16.37% 13.26%
Max Decline   17.97% 22.07% 29.50% 28.61% 25.24% 22.92% 25.63% 35.19% 27.88% 32.40% 26.31%
Avg Days To Max Decline   21 17 14 16 22 17 21 24 21 18 19
Avg Max Increase   -2.57% -1.66% -1.87% -2.46% -4.88% -4.33% -4.86% -4.33% -7.13% -4.45% -5.21%
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   11 6 5 6 10 10 12 10 12 18 5
2016 Contract Condition   Yes Yes Yes   Yes Yes     Yes   Yes
Action   Yes Yes Yes   Yes Yes     No   Yes
High 3.088 2.967 2.830 2.700 2.573 2.644 2.432 2.327 2.528 2.451 2.964 2.990
Low 2.875 2.770 2.495 2.446 2.246 2.365 2.010 2.009 2.183 2.195 2.432 2.591
Close/Last 2.901 2.774 2.588 2.498 2.521 2.472 2.054 2.237 2.457 2.438 2.918 2.876

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