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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   23 23 23 23 23 23 24 24 24 24 24
Closed Higher   6 10 11 15 16 15 13 10 11 11 13
Exceeded High   4 7 11 13 16 12 8 5 9 9 12
Scenario Percentage   67% 70% 100% 87% 100% 80% 62% 50% 82% 82% 92%
Avg Max Increase   10.86% 14.47% 13.41% 15.22% 13.52% 13.94% 9.66% 21.79% 23.70% 17.85% 11.62%
Max Increase   25.82% 36.54% 27.29% 40.36% 49.68% 42.55% 17.99% 61.21% 71.77% 36.43% 25.39%
Avg Days To Max Increase   8 21 25 19 16 14 19 24 19 15 19
Avg Max Decline   -1.11% -0.80% -2.79% -1.97% -2.88% -3.22% -5.84% -6.04% -6.20% -2.85% -5.37%
Max Decline   -2.54% -3.05% -5.09% -7.06% -7.12% -10.59% -16.13% -16.70% -20.10% -7.84% -14.71%
Avg Days to Max Decline   3 6 14 6 7 7 13 11 10 8 5
2013 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   23 23 23 23 23 23 24 24 24 24 24
Closed Lower   17 13 12 8 7 8 11 14 13 13 11
Penetrated Low   14 11 9 5 6 6 9 12 11 12 9
Scenario Percentage   82% 85% 75% 63% 86% 75% 82% 86% 85% 92% 82%
Avg Max Decline   10.43% 8.62% 9.66% 11.51% 9.74% 11.46% 13.24% 12.69% 14.69% 15.58% 9.02%
Max Decline   27.32% 24.57% 20.93% 16.57% 23.43% 30.43% 22.33% 26.51% 25.58% 35.90% 19.47%
Avg Days To Max Decline   13 16 18 21 22 22 21 22 14 15 17
Avg Max Increase   -2.02% -2.05% -4.45% -1.75% -3.67% -3.92% -7.08% -3.82% -5.34% -4.94% -4.89%
Max Increase   -5.70% -8.20% -10.46% -3.88% -11.43% -9.07% -14.01% -9.10% -11.98% -16.44% -20.08%
Avg Days to Max Increase   7 8 6 6 9 10 13 18 7 11 3
2013 Contract Condition   Yes Yes         Yes Yes Yes   Yes
Action   Yes Yes         Yes Yes Yes   Not Yet
High 4.216 4.214 4.007 3.953 3.853 4.263 4.558 4.594 4.127 3.910 3.757 3.892
Low 3.960 3.847 3.681 3.450 3.562 3.746 4.063 4.060 3.620 3.534 3.281 3.450
Close/Last 4.044 3.859 3.745 3.753 3.799 4.196 4.498 4.084 3.646 3.573 3.684 3.560

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