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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August Natural Gas(NYM) as of Jan 21, 2022
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   31 31 31 31 31 31 31 31 31 32 32
Closed Higher   15 16 12 9 12 16 18 20 20 14 13
Exceeded High   12 12 9 7 9 14 14 20 19 10 6
Scenario Percentage   80% 75% 75% 78% 75% 88% 78% 100% 95% 71% 46%
Avg Max Increase   8.17% 6.73% 6.86% 10.73% 14.61% 14.50% 17.30% 15.05% 14.77% 17.57% 10.12%
Max Increase   23.34% 15.36% 15.93% 26.45% 41.51% 29.66% 48.98% 52.12% 47.41% 39.24% 18.75%
Avg Days To Max Increase   20 17 13 21 19 23 17 16 15 19 15
Avg Max Decline   -2.35% -3.61% -2.43% -2.38% -1.80% -2.72% -2.64% -3.93% -4.98% -5.09% -3.71%
Max Decline   -4.89% -13.01% -9.95% -4.92% -5.68% -5.42% -6.66% -8.17% -12.70% -12.50% -12.28%
Avg Days to Max Decline   11 10 5 18 7 10 9 12 11 11 5
2021 Contract Condition   Yes   Yes     Yes Yes   Yes Yes Yes
Action   Yes   Yes     Yes No   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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   31 31 31 31 31 31 31 31 31 32 32
Closed Lower   16 15 19 22 19 15 13 11 11 18 19
Penetrated Low   12 13 15 19 14 12 9 10 9 16 14
Scenario Percentage   75% 87% 79% 86% 74% 80% 69% 91% 82% 89% 74%
Avg Max Decline   8.78% 7.93% 11.75% 12.12% 9.71% 12.57% 9.94% 10.24% 15.07% 15.40% 10.30%
Max Decline   21.05% 17.97% 22.09% 29.97% 28.66% 25.57% 23.91% 27.18% 36.75% 28.58% 16.07%
Avg Days To Max Decline   17 21 19 16 15 18 17 21 20 17 16
Avg Max Increase   -1.69% -3.97% -1.74% -2.05% -2.50% -4.83% -5.51% -4.75% -4.62% -6.48% -2.28%
Max Increase   -6.55% -10.48% -5.89% -7.11% -11.65% -11.28% -21.80% -11.46% -10.17% -14.97% -11.11%
Avg Days to Max Increase   10 13 6 8 5 12 11 11 10 8 5
2021 Contract Condition     Yes   Yes Yes     Yes      
Action     Yes   Yes No     No      
High 2.680 2.847 2.898 3.078 3.096 2.883 2.939 3.136 3.025 3.050 3.208 3.814
Low 2.506 2.644 2.789 2.735 2.677 2.500 2.691 2.862 2.605 2.647 2.924 3.031
Close/Last 2.634 2.832 2.816 3.059 2.812 2.715 2.775 2.938 2.753 2.989 3.007 3.650

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