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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 10, 2021
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   29 30 30 30 31 31 31 31 31 31 31
Closed Higher   16 17 20 21 14 12 12 15 16 12 8
Exceeded High   14 14 20 17 10 6 11 12 14 5 5
Scenario Percentage   88% 82% 100% 81% 71% 50% 92% 80% 88% 42% 63%
Avg Max Increase   10.72% 12.11% 11.71% 10.86% 7.58% 15.76% 18.30% 14.49% 18.16% 29.55% 40.59%
Max Increase   25.04% 31.64% 47.87% 40.48% 14.74% 48.16% 64.91% 28.43% 56.64% 70.50% 84.34%
Avg Days To Max Increase   21 17 17 15 17 15 22 16 17 14 23
Avg Max Decline   -2.38% -1.95% -2.46% -2.51% -2.78% -2.68% -3.95% -3.18% -4.50% -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 13 7 10 9 8 3 5
2021 Contract Condition       Yes Yes     Yes Yes   Yes  
Action       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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   29 30 30 30 31 31 31 31 31 31 31
Closed Lower   12 13 10 9 17 19 19 16 15 19 23
Penetrated Low   12 6 10 8 14 16 17 13 14 17 20
Scenario Percentage   100% 46% 100% 89% 82% 84% 89% 81% 93% 89% 87%
Avg Max Decline   7.26% 8.46% 7.01% 9.15% 9.67% 10.00% 9.90% 12.46% 15.07% 18.73% 13.84%
Max Decline   18.30% 13.87% 20.78% 26.58% 17.81% 21.28% 23.85% 29.96% 23.74% 32.37% 24.65%
Avg Days To Max Decline   14 18 22 19 23 21 15 17 20 16 18
Avg Max Increase   -3.27% -2.55% -4.00% -3.17% -4.23% -3.01% -3.54% -3.31% -7.04% -6.13% -5.30%
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 9 3
2021 Contract Condition   Yes Yes     Yes Yes     Yes   Yes
Action   Yes Yes     Yes No     Yes   Yes
High 2.739 2.736 2.617 2.757 3.127 3.208 3.044 3.019 3.384 3.479 3.507 3.505
Low 2.653 2.534 2.434 2.421 2.713 2.909 2.778 2.785 2.933 3.156 3.079 2.656
Close/Last 2.720 2.552 2.462 2.739 3.115 2.955 2.883 2.915 3.355 3.267 3.469 2.882

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