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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 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   29 31 31 31 31 31 31 31 31 31 31
Closed Higher   19 15 14 13 15 16 12 9 12 14 16
Exceeded High   16 11 9 11 12 13 8 6 9 11 11
Scenario Percentage   84% 73% 64% 85% 80% 81% 67% 67% 75% 79% 69%
Avg Max Increase   8.32% 6.04% 7.67% 11.65% 8.37% 7.67% 11.40% 24.65% 25.07% 22.37% 14.93%
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   15 17 15 19 17 16 13 24 20 16 19
Avg Max Decline   -2.58% -1.67% -1.88% -3.05% -2.76% -4.10% -3.48% -1.94% -3.33% -2.86% -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 12 11 15 4 2 8 5 5
2021 Contract Condition   Yes     Yes Yes   Yes     Yes Yes
Action   Yes     Yes 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   29 31 31 31 31 31 31 31 31 31 31
Closed Lower   9 16 17 17 16 15 19 22 19 17 15
Penetrated Low   5 10 12 11 12 13 16 19 15 15 11
Scenario Percentage   56% 63% 71% 65% 75% 87% 84% 86% 79% 88% 73%
Avg Max Decline   4.35% 7.16% 8.37% 9.62% 9.89% 10.17% 13.57% 16.30% 15.00% 14.32% 9.83%
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 18 16 20 18
Avg Max Increase   -2.09% -3.79% -3.21% -2.17% -1.99% -5.69% -2.37% -3.53% -4.43% -7.17% -4.60%
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 13 4 5 6 9 5
2021 Contract Condition     Yes Yes     Yes   Yes Yes    
Action     Yes No     Yes   Yes No    
High 2.373 2.632 2.655 2.570 2.621 2.834 2.875 3.047 3.052 2.770 2.813 3.060
Low 2.070 2.350 2.486 2.420 2.425 2.565 2.752 2.681 2.527 2.308 2.475 2.697
Close/Last 2.359 2.617 2.512 2.474 2.556 2.819 2.794 3.017 2.701 2.538 2.592 2.771

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