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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for February Natural Gas(NYM) as of Oct 20, 2019
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   28 28 28 29 29 29 29 29 29 29 29
Closed Higher   16 19 19 13 11 11 12 14 11 10 11
Exceeded High   13 19 17 10 5 10 10 12 4 7 8
Scenario Percentage   81% 100% 89% 77% 45% 91% 83% 86% 36% 70% 73%
Avg Max Increase   13.09% 11.47% 9.63% 7.27% 14.40% 16.89% 15.63% 17.78% 32.88% 35.07% 16.23%
Max Increase   31.04% 47.84% 40.31% 14.47% 46.67% 62.28% 27.84% 57.18% 63.61% 61.54% 28.65%
Avg Days To Max Increase   17 18 15 19 13 21 16 18 15 20 14
Avg Max Decline   -1.79% -2.37% -2.73% -2.13% -1.88% -4.46% -2.51% -4.50% -3.38% -4.10% -0.00%
Max Decline   -6.55% -6.55% -8.99% -5.23% -5.63% -12.97% -5.91% -14.84% -7.41% -15.50% -6.55%
Avg Days to Max Decline   9 9 7 11 6 11 7 11 3 7 5
2019 Contract Condition     Yes   Yes     Yes Yes Yes Yes  
Action     Yes   Yes     Yes Yes Yes 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   28 28 28 29 29 29 29 29 29 29 29
Closed Lower   12 9 9 15 17 18 17 15 18 19 18
Penetrated Low   5 9 7 12 14 16 14 14 15 16 14
Scenario Percentage   42% 100% 78% 80% 82% 89% 82% 93% 83% 84% 78%
Avg Max Decline   9.65% 6.75% 9.15% 9.55% 9.97% 9.55% 11.66% 12.68% 18.33% 22.57% 17.09%
Max Decline   13.86% 20.31% 26.74% 17.21% 19.37% 23.49% 29.36% 21.60% 28.29% 41.55% 30.96%
Avg Days To Max Decline   20 20 18 22 19 16 16 21 20 18 18
Avg Max Increase   -1.50% -4.10% -2.84% -4.39% -2.52% -3.15% -2.90% -6.76% -5.69% -4.75% -2.77%
Max Increase   -2.89% -11.49% -7.98% -13.78% -8.56% -8.87% -10.56% -27.12% -25.13% -16.00% -16.03%
Avg Days to Max Increase   10 15 7 9 15 7 9 13 8 7 5
2019 Contract Condition   Yes   Yes   Yes Yes         Yes
Action   No   Yes   Yes Yes         Yes
High 3.199 3.139 3.119 3.085 3.170 3.206 3.088 3.145 3.161 3.375 4.849 4.533
Low 2.952 2.954 2.984 2.974 2.923 3.083 2.912 2.954 2.904 3.083 3.111 2.930
Close/Last 3.148 3.017 3.059 3.002 3.128 3.098 3.005 3.078 3.085 3.210 4.419 2.940

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