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Hello. Hope your health is good and your heart is full.

Of the following, which sentence sounds most natural?

[1] I thought there may be a change in the address, but, okay, you are still at the same location.

[2] I thought there may have been a change in the address, but, okay, you are still at the same location.

[3] I thought there might be a change in the address, but, okay, you are still at the same location.

[4] I thought there might have been a change in the address, but, okay, you are still at the same location.

Best,

Hiro
Comments  
They all sound equally natural to me, Hiro. I question only your punctuation in the vicinity of okay.
Is it better to remove the comma between 'but' and 'okay'?

Just curious to know what is the difference between them. Would you please help me with that, Mister Micawber?

Hiro
Students: Are you brave enough to let our tutors analyse your pronunciation?
Well, the structure is very informal-- like a transcription of spoken English. If I were writing it, I would treat OK as the interjection it is, and use m-dashes:

I thought there may be a change in the address, but-- okay-- you are still at the same location.
I would definitely use 4, as reported speech for past time implicating a doubt. See Swan.

However, the practical grammar is in a slight mess in this area:

The New York Times gives:

"thought there may be" 3 Results to me, this is is past time extended to present validity
(the thing/situation which I thought of then, is still valid now)

"thought there may have been" 2 Results past time

"thought there might be" 139 Results to me, this is past time extended to present validity, more doubful than with "may"

"thought there might have been"14 Results past time, more doubtful

Thus you may decide to not backshift in tense, if the situation continues at this present time.
See my postings with quotations from Jespersen on backshifting in:
sequence of tenses
I agree with Marius that "might" is better than "may", because we see that what the speaker thought is not still valid. However, "might be" or "might have been" both sound OK to me.
Students: We have free audio pronunciation exercises.
My intuition when I thought about this issue: in the strict sense of "may have" and "might have" mean, they are a lot better than "may" or "might" because, with reference to the rest of the sentence, the speaker's thought is not still good. "May have" and "might have" refer to only the past.

Hiro
Here's my interpretation:

there may be = perhaps there is

there may have been = perhaps there has been

there might be = perhaps there is/was or would be

there might have been = perhaps there has/had been
May have been does not refer to a past but to a present perfect; there has been a change, so now the address is different. The meaning is not very different from there may be a change. So it is the two examples with may that cannot refer to a situation that is now evidently not true.

Trying to help
Lewis