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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 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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   25 26 26 26 26 27 27 27 27 27 27
Closed Higher   12 13 17 17 19 12 11 13 13 13 8
Exceeded High   9 12 13 17 16 7 6 10 10 11 2
Scenario Percentage   75% 92% 76% 100% 84% 58% 55% 77% 77% 85% 25%
Avg Max Increase   12.93% 12.29% 13.49% 12.58% 11.42% 9.73% 13.88% 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   20 25 19 17 15 18 11 20 14 17 11
Avg Max Decline   -1.60% -2.17% -2.09% -2.65% -2.81% -2.56% -2.29% -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 6 8 7 7 3
2016 Contract Condition   Yes     Yes Yes   Yes Yes      
Action   Yes     Yes Yes   Yes 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   25 26 26 26 26 27 27 27 27 27 27
Closed Lower   13 13 9 9 7 15 16 14 14 14 19
Penetrated Low   11 10 4 9 6 12 14 12 13 13 14
Scenario Percentage   85% 77% 44% 100% 86% 80% 88% 86% 93% 93% 74%
Avg Max Decline   7.73% 9.22% 11.04% 7.22% 10.44% 10.70% 11.10% 11.99% 14.33% 15.47% 10.85%
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   13 19 22 20 21 22 22 16 17 18 16
Avg Max Increase   -2.15% -3.76% -1.56% -4.36% -3.66% -5.50% -2.73% -4.52% -2.90% -8.17% -3.88%
Max Increase   -7.66% -8.82% -3.52% -11.38% -8.62% -14.34% -7.63% -10.56% -11.02% -31.20% -16.04%
Avg Days to Max Increase   9 9 5 15 17 12 14 8 10 15 4
2016 Contract Condition     Yes Yes     Yes     Yes Yes Yes
Action     Yes No     No     Yes Yes Yes
High 2.932 2.830 2.890 2.736 2.834 3.062 3.020 3.350 3.368 3.325 3.352 3.556
Low 2.709 2.532 2.637 2.370 2.446 2.700 2.760 2.973 3.095 3.010 3.037 2.972
Close/Last 2.756 2.766 2.742 2.459 2.735 3.028 2.997 3.319 3.320 3.203 3.132 3.026

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