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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March 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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   29 30 31 31 31 31 31 31 31 31 31
Closed Higher   20 21 14 12 12 15 15 13 9 11 12
Exceeded High   20 18 10 6 11 13 12 5 6 10 10
Scenario Percentage   100% 86% 71% 50% 92% 87% 80% 38% 67% 91% 83%
Avg Max Increase   11.62% 9.33% 7.15% 13.29% 15.21% 9.92% 11.20% 25.31% 35.01% 21.89% 14.62%
Max Increase   49.20% 41.19% 14.43% 45.89% 59.17% 24.29% 23.36% 55.31% 57.64% 52.64% 29.48%
Avg Days To Max Increase   17 15 18 16 21 14 15 13 19 14 13
Avg Max Decline   -2.41% -2.46% -2.00% -1.99% -3.78% -2.96% -4.37% -2.85% -2.57% -4.22% -4.12%
Max Decline   -6.69% -8.60% -6.33% -5.69% -12.61% -7.33% -14.19% -6.98% -13.09% -15.72% -18.55%
Avg Days to Max Decline   8 8 9 6 9 10 12 3 9 6 3
2021 Contract Condition   Yes Yes     Yes Yes   Yes     Yes
Action   Yes Yes     Yes Yes   No     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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   29 30 31 31 31 31 31 31 31 31 31
Closed Lower   9 9 17 19 19 16 16 18 22 20 19
Penetrated Low   9 7 14 14 17 13 14 15 19 18 15
Scenario Percentage   100% 78% 82% 74% 89% 81% 88% 83% 86% 90% 79%
Avg Max Decline   5.79% 5.80% 8.01% 9.89% 8.96% 11.62% 12.27% 16.08% 18.59% 17.08% 11.84%
Max Decline   17.90% 12.62% 17.21% 17.79% 23.20% 29.22% 20.59% 26.00% 36.08% 38.59% 25.13%
Avg Days To Max Decline   22 17 21 20 16 17 22 18 19 15 18
Avg Max Increase   -4.40% -3.35% -4.17% -3.12% -2.98% -2.97% -6.38% -5.38% -4.06% -5.80% -5.48%
Max Increase   -12.76% -7.89% -13.60% -10.34% -8.44% -10.67% -23.13% -26.05% -13.34% -37.04% -22.13%
Avg Days to Max Increase   14 10 9 14 8 11 13 7 6 8 3
2021 Contract Condition       Yes Yes     Yes   Yes Yes  
Action       Yes No     Yes   Yes Not Yet  
High 2.484 2.617 2.947 3.011 2.894 2.877 3.190 3.261 3.320 3.316 2.881 2.835
Low 2.317 2.294 2.588 2.756 2.653 2.660 2.807 3.017 2.935 2.596 2.268 2.425
Close/Last 2.338 2.604 2.934 2.798 2.739 2.788 3.167 3.099 3.284 2.799 2.526 2.564

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