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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   30 31 31 31 31 31 31 31 31 31 31
Closed Higher   13 15 15 14 10 9 13 15 16 19 17
Exceeded High   7 13 12 11 8 7 10 13 11 19 12
Scenario Percentage   54% 87% 80% 79% 80% 78% 77% 87% 69% 100% 71%
Avg Max Increase   7.44% 11.53% 7.87% 7.14% 8.24% 12.39% 16.90% 16.23% 22.00% 14.97% 14.14%
Max Increase   27.75% 40.81% 22.49% 14.62% 16.87% 26.34% 49.02% 34.72% 54.16% 52.28% 43.27%
Avg Days To Max Increase   15 20 18 18 14 17 18 21 17 17 14
Avg Max Decline   -1.84% -2.83% -2.39% -3.67% -2.85% -2.62% -1.82% -2.86% -3.14% -4.71% -3.01%
Max Decline   -3.38% -10.98% -4.34% -13.06% -10.47% -10.51% -5.83% -6.29% -8.24% -9.02% -8.56%
Avg Days to Max Decline   13 12 14 12 5 19 7 8 7 9 4
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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   30 31 31 31 31 31 31 31 31 31 31
Closed Lower   17 16 16 17 21 22 18 16 15 12 14
Penetrated Low   13 12 12 15 17 18 15 14 11 11 9
Scenario Percentage   76% 75% 75% 88% 81% 82% 83% 88% 73% 92% 64%
Avg Max Decline   7.56% 8.24% 9.07% 8.36% 12.40% 13.92% 10.51% 13.05% 11.02% 9.66% 7.82%
Max Decline   14.02% 17.20% 22.34% 18.69% 23.19% 31.08% 29.74% 28.30% 26.89% 22.12% 15.87%
Avg Days To Max Decline   17 18 18 21 18 17 13 18 18 17 16
Avg Max Increase   -2.57% -1.73% -1.64% -4.98% -1.87% -2.35% -3.07% -5.41% -4.89% -6.24% -2.86%
Max Increase   -12.48% -5.35% -7.18% -19.06% -6.16% -8.25% -15.44% -12.38% -20.14% -23.12% -8.82%
Avg Days to Max Increase   11 3 9 14 5 7 7 10 15 9 4
2021 Contract Condition   Yes     Yes   Yes Yes     Yes  
Action   No     Yes   Yes No     Not Yet  
High 2.647 2.560 2.625 2.809 2.856 3.028 3.043 2.804 2.868 3.084 2.958 2.988
Low 2.502 2.438 2.441 2.580 2.741 2.684 2.591 2.411 2.593 2.789 2.521 2.534
Close/Last 2.526 2.482 2.572 2.794 2.774 3.006 2.736 2.611 2.683 2.862 2.667 2.931

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