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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for April 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   30 32 32 32 32 32 32 32 32 32 32
Closed Higher   20 16 15 14 16 17 13 9 12 15 16
Exceeded High   17 12 10 12 13 14 9 6 9 12 11
Scenario Percentage   85% 75% 67% 86% 81% 82% 69% 67% 75% 80% 69%
Avg Max Increase   8.91% 7.58% 8.67% 13.32% 9.60% 7.78% 11.00% 24.65% 25.07% 22.25% 14.93%
Max Increase   40.87% 24.57% 30.16% 44.89% 24.32% 17.16% 32.21% 36.90% 91.38% 61.63% 51.04%
Avg Days To Max Increase   16 18 16 20 18 17 15 24 20 17 19
Avg Max Decline   -2.45% -1.52% -1.91% -2.95% -2.54% -4.11% -3.70% -1.94% -3.33% -4.06% -3.35%
Max Decline   -7.88% -4.92% -3.97% -11.95% -6.23% -13.58% -11.26% -5.51% -10.03% -17.28% -10.23%
Avg Days to Max Decline   6 9 9 13 10 17 5 2 8 5 5
2022 Contract Condition   Yes Yes Yes Yes Yes Yes Yes     Yes  
Action   Yes Yes 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   30 32 32 32 32 32 32 32 32 32 32
Closed Lower   9 16 17 17 16 15 19 23 20 17 16
Penetrated Low   5 10 12 11 12 13 16 20 15 15 11
Scenario Percentage   56% 63% 71% 65% 75% 87% 84% 87% 75% 88% 69%
Avg Max Decline   4.35% 7.16% 8.37% 9.62% 9.89% 10.17% 13.57% 16.18% 15.00% 14.32% 9.83%
Max Decline   8.84% 14.17% 14.58% 19.01% 23.69% 19.10% 24.24% 32.58% 36.48% 31.64% 19.74%
Avg Days To Max Decline   17 20 19 17 15 23 19 18 16 20 18
Avg Max Increase   -2.09% -3.79% -3.21% -2.17% -1.99% -5.69% -2.37% -3.41% -4.43% -7.17% -4.60%
Max Increase   -5.58% -12.86% -13.78% -5.75% -7.55% -21.08% -6.65% -11.97% -23.19% -15.47% -18.65%
Avg Days to Max Increase   9 9 13 3 8 13 4 5 6 9 5
2022 Contract Condition                 Yes Yes   Yes
Action                 Yes No   Not Yet
High 2.534 2.593 2.667 3.047 3.296 3.529 4.302 4.314 4.363 3.981 4.803 5.053
Low 2.397 2.454 2.566 2.650 2.932 3.210 3.473 3.850 3.827 3.383 3.474 3.867
Close/Last 2.483 2.574 2.646 2.998 3.267 3.470 3.996 4.047 3.934 3.507 4.675 4.402

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