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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 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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   30 31 32 32 32 32 32 32 32 32 32
Closed Higher   20 22 15 13 13 16 16 13 9 11 13
Exceeded High   20 19 11 7 12 14 13 5 6 10 11
Scenario Percentage   100% 86% 73% 54% 92% 88% 81% 38% 67% 91% 85%
Avg Max Increase   11.62% 9.96% 9.28% 14.35% 18.38% 12.67% 11.20% 25.31% 35.01% 21.89% 14.59%
Max Increase   49.20% 41.19% 30.63% 45.89% 59.17% 48.40% 23.36% 55.31% 57.64% 52.64% 29.48%
Avg Days To Max Increase   17 16 19 18 22 14 15 13 19 14 12
Avg Max Decline   -2.41% -2.36% -1.78% -1.95% -3.74% -2.74% -4.36% -2.85% -2.57% -4.22% -4.22%
Max Decline   -6.69% -8.60% -6.33% -5.69% -12.61% -7.33% -14.19% -6.98% -13.09% -15.72% -18.55%
Avg Days to Max Decline   8 8 8 6 10 9 11 3 9 6 3
2022 Contract Condition     Yes Yes Yes Yes Yes Yes       Yes
Action     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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   30 31 32 32 32 32 32 32 32 32 32
Closed Lower   10 9 17 19 19 16 16 19 23 21 19
Penetrated Low   9 7 14 14 17 13 14 16 20 18 15
Scenario Percentage   90% 78% 82% 74% 89% 81% 88% 84% 87% 86% 79%
Avg Max Decline   5.79% 5.80% 8.01% 9.89% 8.96% 11.62% 12.27% 17.17% 18.67% 17.08% 11.84%
Max Decline   17.90% 12.62% 17.21% 17.79% 23.20% 29.22% 20.59% 33.61% 36.08% 38.59% 25.13%
Avg Days To Max Decline   22 17 21 20 16 17 22 19 20 15 18
Avg Max Increase   -4.40% -3.35% -4.17% -3.12% -2.98% -2.97% -6.38% -5.43% -3.95% -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 13 7 5 8 3
2022 Contract Condition   Yes             Yes Yes Yes  
Action   No             Yes Yes Not Yet  
High 3.096 2.965 3.008 3.119 3.618 3.953 4.211 5.866 6.132 5.468 4.354 5.057
Low 2.847 2.722 2.764 2.963 3.038 3.430 3.703 4.139 4.850 4.208 3.416 3.500
Close/Last 2.893 2.818 2.980 3.026 3.488 3.828 4.132 5.517 5.145 4.280 3.557 4.874

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