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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 Jun 08, 2020
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   28 29 30 30 30 30 30 30 30 30 30
Closed Higher   19 20 14 12 11 14 15 12 9 11 11
Exceeded High   19 17 10 6 10 12 12 5 6 10 9
Scenario Percentage   100% 85% 71% 50% 91% 86% 80% 42% 67% 91% 82%
Avg Max Increase   11.41% 9.72% 7.15% 13.29% 15.04% 10.34% 11.20% 25.31% 35.01% 33.35% 23.67%
Max Increase   49.20% 41.19% 14.43% 45.89% 59.17% 24.29% 23.36% 55.31% 57.64% 153.60% 112.29%
Avg Days To Max Increase   18 16 18 16 21 13 15 13 19 15 14
Avg Max Decline   -2.50% -2.51% -2.00% -1.99% -4.23% -2.60% -4.37% -2.85% -2.57% -4.22% -5.22%
Max Decline   -6.69% -8.60% -6.33% -5.69% -12.61% -5.93% -14.19% -6.98% -13.09% -15.72% -18.55%
Avg Days to Max Decline   9 8 9 6 10 8 12 3 9 6 3
2020 Contract Condition               Yes Yes      
Action               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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   28 29 30 30 30 30 30 30 30 30 30
Closed Lower   9 9 16 18 19 16 15 18 21 19 19
Penetrated Low   9 7 13 14 17 13 13 15 18 18 15
Scenario Percentage   100% 78% 81% 78% 89% 81% 87% 83% 86% 95% 79%
Avg Max Decline   5.79% 5.80% 8.23% 9.89% 8.96% 11.62% 11.97% 16.08% 18.57% 17.60% 12.89%
Max Decline   17.90% 12.62% 17.21% 17.79% 23.20% 29.22% 20.59% 26.00% 36.08% 39.26% 29.56%
Avg Days To Max Decline   22 17 21 20 16 17 22 18 19 16 19
Avg Max Increase   -4.40% -3.35% -4.22% -3.12% -2.98% -2.97% -6.32% -5.38% -4.13% -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 12 7 6 8 3
2020 Contract Condition   Yes Yes Yes Yes Yes Yes     Yes Yes Yes
Action   Yes Yes Yes Yes Yes No     Yes Yes Yes
High 3.000 3.040 2.965 2.924 2.746 2.739 2.590 2.759 2.640 2.778 2.363 2.204
Low 2.850 2.912 2.764 2.728 2.491 2.450 2.392 2.463 2.396 2.190 2.113 1.812
Close/Last 3.000 2.916 2.823 2.730 2.602 2.534 2.473 2.504 2.568 2.198 2.158 1.841

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