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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December 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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   22 23 23 23 23 24 24 24 24 24 24
Closed Higher   10 12 15 16 16 12 9 12 12 13 8
Exceeded High   7 11 13 16 14 7 5 10 10 11 2
Scenario Percentage   70% 92% 87% 100% 88% 58% 56% 83% 83% 85% 25%
Avg Max Increase   13.70% 12.61% 13.49% 12.62% 11.70% 9.73% 16.36% 19.77% 16.66% 17.55% 26.52%
Max Increase   32.50% 25.43% 34.97% 48.25% 40.77% 15.24% 52.45% 67.45% 32.88% 69.88% 48.46%
Avg Days To Max Increase   21 25 19 17 14 18 13 20 14 17 11
Avg Max Decline   -1.13% -2.32% -2.09% -2.73% -2.52% -2.56% -2.56% -4.43% -2.42% -5.46% -4.22%
Max Decline   -3.50% -4.39% -6.82% -6.82% -9.58% -5.95% -7.11% -13.32% -7.45% -17.06% -7.26%
Avg Days to Max Decline   6 9 5 9 7 10 7 8 7 7 3
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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   22 23 23 23 23 24 24 24 24 24 24
Closed Lower   12 11 8 7 7 12 15 12 12 11 16
Penetrated Low   10 8 4 7 6 10 13 11 11 10 12
Scenario Percentage   83% 73% 50% 100% 86% 83% 87% 92% 92% 91% 75%
Avg Max Decline   7.62% 9.40% 11.04% 8.07% 10.44% 11.12% 10.84% 12.04% 14.04% 14.48% 10.37%
Max Decline   21.07% 18.72% 14.25% 21.83% 28.01% 19.21% 23.07% 24.65% 30.31% 29.25% 18.72%
Avg Days To Max Decline   14 17 22 22 21 23 22 15 15 17 16
Avg Max Increase   -1.97% -3.94% -1.56% -4.13% -3.66% -5.51% -2.90% -4.47% -2.13% -8.84% -4.02%
Max Increase   -7.66% -8.82% -3.52% -11.38% -8.62% -14.34% -7.63% -10.56% -5.16% -31.20% -16.04%
Avg Days to Max Increase   8 8 5 15 17 13 15 7 7 16 4
2013 Contract Condition   Yes         Yes Yes Yes   Yes Yes
Action   Yes         Yes Yes Yes   Yes Yes
High 4.422 4.190 4.145 4.041 4.400 4.695 4.744 4.282 4.061 3.912 4.041 4.000
Low 4.037 3.844 3.660 3.788 3.942 4.222 4.230 3.792 3.705 3.469 3.629 3.560
Close/Last 4.053 3.948 3.962 3.990 4.341 4.656 4.238 3.813 3.752 3.841 3.729 3.581

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