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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Natural Gas(NYM) as of Sep 16, 2022
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   30 32 32 32 32 32 32 32 32 32 32
Closed Higher   15 15 16 16 16 13 10 12 15 17 21
Exceeded High   12 10 15 12 13 9 8 10 13 12 19
Scenario Percentage   80% 67% 94% 75% 81% 69% 80% 83% 87% 71% 90%
Avg Max Increase   8.31% 8.67% 12.26% 9.62% 7.42% 9.25% 16.26% 18.96% 18.13% 20.45% 11.69%
Max Increase   23.36% 27.44% 41.31% 23.54% 14.89% 22.06% 31.67% 62.43% 43.11% 54.87% 42.95%
Avg Days To Max Increase   20 16 20 20 18 15 19 18 21 14 16
Avg Max Decline   -1.33% -2.32% -2.66% -2.09% -3.86% -3.22% -1.64% -2.07% -4.29% -3.65% -3.99%
Max Decline   -4.89% -7.32% -11.20% -5.03% -13.36% -10.81% -4.42% -6.21% -16.31% -8.72% -8.03%
Avg Days to Max Decline   8 11 12 8 14 5 8 5 8 8 5
2022 Contract Condition   Yes Yes Yes Yes Yes Yes     Yes   Yes
Action   Yes Yes Yes Yes Yes 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   30 32 32 32 32 32 32 32 32 32 32
Closed Lower   15 17 16 16 15 19 22 20 17 15 11
Penetrated Low   11 13 11 12 13 15 19 15 13 10 10
Scenario Percentage   73% 76% 69% 75% 87% 79% 86% 75% 76% 67% 91%
Avg Max Decline   6.03% 7.81% 9.14% 9.36% 8.99% 13.51% 14.63% 13.38% 15.23% 11.95% 6.47%
Max Decline   12.45% 14.66% 17.78% 22.61% 19.01% 23.62% 31.56% 34.01% 29.94% 27.60% 13.67%
Avg Days To Max Decline   21 19 19 18 22 19 19 15 20 12 12
Avg Max Increase   -3.67% -2.67% -1.90% -1.96% -5.49% -2.11% -2.53% -3.28% -6.34% -6.04% -3.90%
Max Increase   -13.25% -12.65% -5.64% -6.61% -20.13% -6.09% -9.12% -16.97% -13.73% -18.01% -11.84%
Avg Days to Max Increase   11 13 3 8 15 6 5 6 8 9 2
2022 Contract Condition               Yes Yes   Yes  
Action               Yes No   Not Yet  
High 2.533 2.608 2.949 3.205 3.428 4.076 4.163 4.292 3.942 4.792 5.048 5.832
Low 2.416 2.515 2.605 2.848 3.146 3.374 3.695 3.763 3.412 3.499 3.900 4.361
Close/Last 2.521 2.598 2.917 3.188 3.373 3.824 3.955 3.900 3.525 4.660 4.420 5.642

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