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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for April Natural Gas(NYM) as of Jun 08, 2020
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   28 30 30 30 30 30 30 30 30 30 30
Closed Higher   18 15 14 12 14 16 11 9 12 13 15
Exceeded High   15 11 9 10 11 13 7 6 9 10 11
Scenario Percentage   83% 73% 64% 83% 79% 81% 64% 67% 75% 77% 73%
Avg Max Increase   8.78% 6.04% 7.67% 11.56% 8.39% 7.67% 12.86% 24.65% 25.07% 22.49% 14.66%
Max Increase   40.87% 14.45% 30.16% 44.89% 22.81% 17.16% 32.21% 36.90% 91.38% 61.63% 51.04%
Avg Days To Max Increase   16 17 15 20 16 16 15 24 20 15 18
Avg Max Decline   -2.66% -1.67% -1.88% -3.39% -2.57% -4.10% -3.76% -1.94% -3.33% -3.65% -3.35%
Max Decline   -7.88% -4.92% -3.97% -11.95% -6.23% -13.58% -11.26% -5.51% -10.03% -9.15% -10.23%
Avg Days to Max Decline   6 10 10 13 9 15 5 2 8 5 5
2020 Contract Condition             Yes Yes   Yes    
Action             Yes Yes   No    
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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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   28 30 30 30 30 30 30 30 30 30 30
Closed Lower   9 15 16 17 16 14 19 21 18 17 15
Penetrated Low   5 9 12 11 12 12 16 18 15 15 11
Scenario Percentage   56% 60% 75% 65% 75% 86% 84% 86% 83% 88% 73%
Avg Max Decline   4.35% 7.55% 8.37% 9.62% 9.89% 10.22% 13.57% 16.40% 15.00% 14.09% 9.52%
Max Decline   8.84% 14.17% 14.58% 19.01% 23.69% 19.10% 24.24% 32.58% 36.48% 31.64% 19.74%
Avg Days To Max Decline   17 20 19 17 15 23 19 17 16 17 16
Avg Max Increase   -2.09% -3.95% -3.21% -2.17% -1.99% -5.40% -2.37% -3.58% -4.43% -6.51% -4.51%
Max Increase   -5.58% -12.86% -13.78% -5.75% -7.55% -21.08% -6.65% -11.97% -23.19% -15.47% -18.65%
Avg Days to Max Increase   9 9 13 3 8 12 4 5 6 7 4
2020 Contract Condition   Yes Yes Yes Yes Yes     Yes   Yes Yes
Action   Yes Yes Yes Yes No     Yes   Yes Yes
High 2.667 2.663 2.651 2.528 2.494 2.399 2.435 2.369 2.447 2.237 2.196 2.024
Low 2.607 2.515 2.506 2.340 2.293 2.218 2.271 2.220 2.132 2.090 1.856 1.642
Close/Last 2.620 2.567 2.517 2.414 2.360 2.277 2.284 2.340 2.136 2.149 1.886 1.684

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