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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for February 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   31 31 31 32 32 32 32 32 32 32 32
Closed Higher   18 20 21 14 12 13 14 16 13 10 11
Exceeded High   14 20 19 11 6 12 12 14 5 7 8
Scenario Percentage   78% 100% 90% 79% 50% 92% 86% 88% 38% 70% 73%
Avg Max Increase   12.28% 11.73% 9.92% 9.61% 15.78% 20.31% 17.32% 16.90% 28.00% 34.36% 15.65%
Max Increase   31.04% 47.84% 40.31% 32.99% 46.67% 62.28% 47.15% 57.18% 63.61% 61.54% 24.02%
Avg Days To Max Increase   16 17 15 20 16 22 16 16 13 19 14
Avg Max Decline   -1.71% -2.30% -2.57% -1.90% -1.95% -3.94% -2.75% -4.49% -3.09% -4.10% -0.00%
Max Decline   -6.55% -6.55% -8.99% -5.23% -5.63% -12.97% -8.02% -14.84% -7.41% -15.50% -6.55%
Avg Days to Max Decline   8 8 7 10 6 11 9 11 3 7 5
2022 Contract Condition   Yes   Yes Yes Yes Yes Yes Yes      
Action   No   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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   31 31 31 32 32 32 32 32 32 32 32
Closed Lower   13 11 10 17 19 19 18 16 19 22 21
Penetrated Low   6 10 8 14 15 17 14 15 16 19 15
Scenario Percentage   46% 91% 80% 82% 79% 89% 78% 94% 84% 86% 71%
Avg Max Decline   8.33% 6.71% 9.63% 9.39% 9.86% 9.35% 11.66% 13.04% 19.39% 22.00% 16.66%
Max Decline   13.86% 20.31% 26.74% 17.21% 19.37% 23.49% 29.36% 21.60% 35.25% 41.55% 30.96%
Avg Days To Max Decline   18 21 18 23 18 15 16 21 20 18 17
Avg Max Increase   -2.30% -3.89% -2.97% -4.03% -2.72% -3.10% -2.90% -6.79% -5.80% -4.75% -2.79%
Max Increase   -6.33% -11.49% -7.98% -13.78% -8.56% -8.87% -10.56% -27.12% -25.13% -16.00% -16.03%
Avg Days to Max Increase   10 14 8 9 15 7 9 14 7 6 6
2022 Contract Condition     Yes             Yes Yes Yes
Action     No             Yes Yes Not Yet
High 3.119 3.298 3.188 3.226 3.348 3.885 4.269 4.568 6.357 6.557 5.833 4.603
Low 2.959 3.068 2.876 2.923 3.154 3.224 3.641 3.937 4.461 5.100 4.420 3.518
Close/Last 3.008 3.117 2.992 3.184 3.210 3.725 4.069 4.456 5.951 5.433 4.506 3.730

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