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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, 2015
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   23 24 24 24 24 25 25 25 25 25 25
Closed Higher   11 13 16 16 17 12 9 12 13 13 8
Exceeded High   8 12 13 16 14 7 5 10 10 11 2
Scenario Percentage   73% 92% 81% 100% 82% 58% 56% 83% 77% 85% 25%
Avg Max Increase   13.98% 12.29% 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   22 25 19 17 14 18 13 20 14 17 11
Avg Max Decline   -1.59% -2.17% -2.09% -2.73% -2.52% -2.56% -2.56% -4.43% -2.42% -5.46% -4.22%
Max Decline   -4.82% -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
2014 Contract Condition   Yes Yes Yes   Yes       Yes    
Action   Yes Yes No   No       No    
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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   23 24 24 24 24 25 25 25 25 25 25
Closed Lower   12 11 8 8 7 13 16 13 12 12 17
Penetrated Low   10 8 4 8 6 11 14 11 11 11 12
Scenario Percentage   83% 73% 50% 100% 86% 85% 88% 85% 92% 92% 71%
Avg Max Decline   7.62% 9.40% 11.04% 7.51% 10.44% 11.55% 11.10% 12.04% 14.04% 14.40% 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 21 21 24 22 15 15 18 16
Avg Max Increase   -1.97% -3.94% -1.56% -4.68% -3.66% -5.76% -2.73% -4.47% -2.13% -8.16% -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 17 17 13 14 7 7 15 4
2014 Contract Condition         Yes   Yes Yes Yes   Yes Yes
Action         Yes   Yes Yes No   Yes Not Yet
High 4.166 4.433 4.683 5.000 4.819 4.988 4.951 4.985 4.555 4.252 4.242 4.246
Low 3.796 4.122 4.104 4.575 4.492 4.460 4.430 4.457 3.877 3.935 3.901 3.620
Close/Last 4.162 4.312 4.596 4.705 4.596 4.955 4.606 4.532 4.005 4.197 4.190 3.873

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