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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 May 17, 2024
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   32 33 33 33 34 34 34 34 34 34 34
Closed Higher   18 18 21 23 16 14 14 18 17 13 9
Exceeded High   16 14 21 19 12 8 13 13 15 5 5
Scenario Percentage   89% 78% 100% 83% 75% 57% 93% 72% 88% 38% 56%
Avg Max Increase   11.42% 12.11% 13.92% 12.37% 10.57% 15.49% 21.41% 16.92% 17.60% 29.55% 38.84%
Max Increase   25.04% 31.64% 58.09% 40.48% 33.03% 48.16% 64.91% 46.11% 56.64% 70.50% 84.34%
Avg Days To Max Increase   21 17 17 15 17 17 23 15 16 14 19
Avg Max Decline   -2.73% -1.95% -2.43% -2.86% -2.28% -2.94% -4.20% -2.91% -4.53% -3.03% -2.72%
Max Decline   -13.08% -6.85% -6.57% -10.47% -6.74% -5.99% -13.28% -8.23% -15.91% -6.78% -11.07%
Avg Days to Max Decline   8 6 10 5 11 10 11 9 7 3 1
2024 Contract Condition             Yes   Yes   Yes  
Action             Yes   No   Not Yet  
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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   32 33 33 33 34 34 34 34 34 34 34
Closed Lower   13 15 12 10 18 20 20 16 17 21 25
Penetrated Low   13 7 11 9 15 16 18 13 16 19 21
Scenario Percentage   100% 47% 92% 90% 83% 80% 90% 81% 94% 90% 84%
Avg Max Decline   7.74% 9.39% 7.10% 9.01% 9.19% 10.00% 9.76% 12.46% 15.98% 19.79% 13.87%
Max Decline   18.30% 15.03% 20.78% 26.58% 17.81% 21.28% 23.85% 29.96% 23.74% 34.91% 24.65%
Avg Days To Max Decline   15 17 21 17 21 21 16 17 21 16 14
Avg Max Increase   -3.14% -2.85% -3.51% -3.23% -3.94% -3.01% -3.80% -3.31% -7.16% -6.16% -4.01%
Max Increase   -9.98% -6.58% -11.41% -7.95% -13.60% -8.21% -9.78% -12.23% -25.00% -23.76% -14.45%
Avg Days to Max Increase   12 11 14 12 8 16 7 12 19 8 3
2024 Contract Condition   Yes Yes Yes Yes Yes   Yes   Yes   Yes
Action   Yes Yes Yes Yes Yes   Yes   Yes   Yes
High 6.285 5.060 4.439 4.443 3.970 4.021 3.906 3.895 4.090 3.876 3.975 3.856
Low 5.047 4.256 3.821 3.785 3.608 3.638 3.570 3.682 3.655 3.501 3.461 2.760
Close/Last 5.113 4.375 4.246 3.922 3.877 3.662 3.849 3.783 3.835 3.565 3.813 2.802

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