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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 Jan 01, 2019
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   26 27 28 28 28 28 28 28 28 28 28
Closed Higher   18 20 13 12 11 13 14 10 8 11 11
Exceeded High   18 17 9 6 10 11 11 3 6 10 9
Scenario Percentage   100% 85% 69% 50% 91% 85% 79% 30% 75% 91% 82%
Avg Max Increase   11.84% 9.72% 7.62% 13.29% 15.04% 10.68% 11.23% 21.02% 35.01% 33.35% 23.67%
Max Increase   49.20% 41.19% 14.43% 45.89% 59.17% 24.29% 23.36% 46.56% 57.64% 153.60% 112.29%
Avg Days To Max Increase   17 16 18 16 21 13 16 16 19 15 14
Avg Max Decline   -2.38% -2.51% -2.05% -1.99% -4.23% -2.34% -4.38% -3.34% -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   7 8 9 6 10 8 11 4 9 6 3
2018 Contract Condition   Yes Yes       Yes         Yes
Action   Yes Yes       Yes         Not Yet
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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   26 27 28 28 28 28 28 28 28 28 28
Closed Lower   8 7 15 16 17 15 14 18 20 17 17
Penetrated Low   8 5 12 12 15 13 13 15 17 16 13
Scenario Percentage   100% 71% 80% 75% 88% 87% 93% 83% 85% 94% 76%
Avg Max Decline   5.71% 5.27% 8.06% 10.37% 9.56% 11.62% 11.97% 16.08% 18.63% 17.95% 13.77%
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   21 18 20 20 16 17 22 18 18 16 20
Avg Max Increase   -4.74% -3.71% -4.53% -3.23% -2.92% -2.97% -6.32% -5.38% -3.93% -5.17% -5.95%
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 9 10 16 8 11 12 7 6 7 3
2018 Contract Condition       Yes Yes Yes   Yes Yes Yes Yes  
Action       Yes Yes Yes   Yes Yes Yes Yes  
High 3.568 3.485 3.572 3.607 3.350 3.339 3.283 3.391 3.279 3.272 3.082 3.259
Low 3.113 3.207 3.404 3.305 3.149 3.109 3.093 3.184 2.988 2.894 2.532 2.693
Close/Last 3.225 3.422 3.507 3.313 3.268 3.119 3.279 3.249 3.000 2.999 2.906 2.995

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