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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   30 31 31 31 31 31 31 31 31 31 32
Closed Higher   14 15 14 11 9 13 16 17 20 20 14
Exceeded High   11 12 11 9 7 10 14 12 20 19 10
Scenario Percentage   79% 80% 79% 82% 78% 77% 88% 71% 100% 95% 71%
Avg Max Increase   12.66% 7.89% 6.98% 7.03% 11.39% 15.67% 15.17% 19.89% 15.23% 13.95% 11.23%
Max Increase   40.16% 22.45% 15.07% 16.38% 26.86% 45.30% 32.40% 51.42% 53.57% 49.30% 21.64%
Avg Days To Max Increase   19 19 18 12 20 19 23 18 16 14 16
Avg Max Decline   -2.84% -2.37% -3.68% -2.48% -3.48% -1.87% -2.95% -2.76% -4.63% -5.33% -3.41%
Max Decline   -10.94% -4.34% -12.87% -10.14% -11.21% -5.67% -6.30% -7.01% -8.65% -14.73% -12.76%
Avg Days to Max Decline   12 13 12 5 20 7 8 9 11 11 3
2021 Contract Condition   Yes Yes   Yes     Yes Yes   Yes Yes
Action   Yes Yes   Yes     Yes No   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   30 31 31 31 31 31 31 31 31 31 32
Closed Lower   16 16 15 19 22 18 15 13 11 11 18
Penetrated Low   13 13 13 14 18 14 12 8 10 8 13
Scenario Percentage   81% 81% 87% 74% 82% 78% 80% 62% 91% 73% 72%
Avg Max Decline   7.68% 8.30% 8.22% 12.62% 13.13% 10.21% 13.44% 12.08% 10.95% 14.74% 11.19%
Max Decline   16.71% 21.80% 18.48% 22.56% 30.46% 28.87% 26.72% 25.30% 28.35% 34.31% 22.55%
Avg Days To Max Decline   19 16 22 19 17 16 22 19 19 17 18
Avg Max Increase   -1.57% -1.33% -5.29% -1.83% -2.31% -2.85% -5.77% -6.16% -4.20% -4.45% -3.51%
Max Increase   -5.10% -3.76% -19.21% -5.86% -7.26% -12.14% -11.88% -20.94% -11.42% -10.19% -13.44%
Avg Days to Max Increase   3 12 15 5 9 6 12 12 6 9 4
2021 Contract Condition       Yes   Yes Yes     Yes    
Action       Yes   Yes No     No    
High 2.596 2.669 2.839 2.889 3.067 3.085 2.865 2.927 3.128 3.007 3.038 3.204
Low 2.486 2.492 2.631 2.779 2.725 2.650 2.472 2.665 2.843 2.585 2.616 2.903
Close/Last 2.528 2.622 2.825 2.809 3.047 2.791 2.685 2.752 2.919 2.732 2.978 2.986

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