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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Natural Gas(NYM) as of Sep 16, 2022
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   30 31 31 31 32 32 32 32 32 32 32
Closed Higher   17 18 20 22 15 13 13 16 17 12 8
Exceeded High   15 14 20 18 11 7 12 13 15 5 5
Scenario Percentage   88% 78% 100% 82% 73% 54% 92% 81% 88% 42% 63%
Avg Max Increase   10.68% 12.11% 11.71% 11.48% 9.90% 16.81% 21.47% 16.92% 17.60% 29.55% 40.59%
Max Increase   25.04% 31.64% 47.87% 40.48% 33.03% 48.16% 64.91% 46.11% 56.64% 70.50% 84.34%
Avg Days To Max Increase   20 17 17 16 18 17 23 15 16 14 23
Avg Max Decline   -2.04% -1.95% -2.46% -2.44% -2.49% -2.64% -3.90% -2.91% -4.53% -3.03% -3.17%
Max Decline   -4.65% -6.85% -6.57% -9.29% -6.74% -5.99% -13.28% -8.23% -15.91% -6.78% -11.07%
Avg Days to Max Decline   8 6 10 5 12 7 11 9 7 3 5
2022 Contract Condition   Yes Yes   Yes Yes Yes Yes Yes Yes    
Action   Yes No   Yes 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   30 31 31 31 32 32 32 32 32 32 32
Closed Lower   12 13 11 9 17 19 19 16 15 20 24
Penetrated Low   12 6 10 8 14 16 17 13 14 18 21
Scenario Percentage   100% 46% 91% 89% 82% 84% 89% 81% 93% 90% 88%
Avg Max Decline   7.26% 8.46% 7.01% 9.15% 9.67% 10.00% 9.90% 12.46% 15.07% 19.62% 14.19%
Max Decline   18.30% 13.87% 20.78% 26.58% 17.81% 21.28% 23.85% 29.96% 23.74% 34.91% 24.65%
Avg Days To Max Decline   14 18 22 19 23 21 15 17 20 17 18
Avg Max Increase   -3.27% -2.55% -4.00% -3.17% -4.23% -3.01% -3.54% -3.31% -7.04% -6.23% -5.15%
Max Increase   -9.98% -6.58% -11.41% -7.95% -13.60% -8.21% -9.78% -12.23% -25.00% -24.83% -25.37%
Avg Days to Max Increase   11 12 15 11 9 16 6 12 21 8 3
2022 Contract Condition       Yes             Yes Yes
Action       No             Yes Yes
High 3.187 3.192 3.370 3.272 3.308 3.439 3.976 4.362 4.689 6.490 6.667 5.975
Low 2.810 3.011 3.141 2.920 2.974 3.220 3.293 3.716 4.009 4.577 5.181 4.482
Close/Last 3.006 3.060 3.195 3.049 3.259 3.279 3.807 4.149 4.563 6.073 5.529 4.567

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