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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June Natural Gas(NYM) as of Oct 20, 2019
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   28 29 29 29 29 29 29 29 29 29 29
Closed Higher   13 14 14 13 8 9 12 14 15 19 15
Exceeded High   7 12 11 10 6 7 10 12 11 19 10
Scenario Percentage   54% 86% 79% 77% 75% 78% 83% 86% 73% 100% 67%
Avg Max Increase   7.44% 11.57% 7.83% 7.24% 10.19% 12.39% 16.90% 16.34% 22.00% 15.11% 15.26%
Max Increase   27.75% 40.81% 22.49% 14.62% 16.87% 26.34% 49.02% 34.72% 54.16% 52.28% 43.27%
Avg Days To Max Increase   15 21 17 19 17 17 18 21 17 18 15
Avg Max Decline   -1.84% -3.09% -2.25% -3.84% -3.49% -2.62% -1.82% -3.47% -3.14% -4.89% -3.04%
Max Decline   -3.38% -10.98% -4.34% -13.06% -10.47% -10.51% -5.83% -6.29% -8.24% -9.02% -8.56%
Avg Days to Max Decline   13 13 12 11 6 19 7 9 7 10 3
2019 Contract Condition   Yes   Yes   Yes Yes   Yes Yes    
Action   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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   28 29 29 29 29 29 29 29 29 29 29
Closed Lower   15 15 15 16 21 20 17 15 14 10 14
Penetrated Low   12 11 12 14 17 16 15 13 10 10 9
Scenario Percentage   80% 73% 80% 88% 81% 80% 88% 87% 71% 100% 64%
Avg Max Decline   7.57% 8.46% 9.07% 8.49% 12.40% 14.33% 10.51% 12.80% 11.28% 9.70% 7.82%
Max Decline   14.02% 17.20% 22.34% 18.69% 23.19% 31.08% 29.74% 28.30% 26.89% 22.12% 15.87%
Avg Days To Max Decline   17 17 18 22 18 16 13 18 19 17 16
Avg Max Increase   -2.52% -1.78% -1.64% -4.65% -1.87% -2.24% -3.07% -5.47% -3.66% -4.55% -2.86%
Max Increase   -12.48% -5.35% -7.18% -19.06% -6.16% -8.25% -15.44% -12.38% -20.14% -11.59% -8.82%
Avg Days to Max Increase   11 3 9 13 5 6 7 8 16 6 4
2019 Contract Condition     Yes   Yes     Yes     Yes Yes
Action     Yes   No     Yes     Yes Not Yet
High 2.659 2.694 2.675 2.709 2.661 2.747 2.827 2.935 2.917 2.884 2.941 2.774
Low 2.528 2.609 2.576 2.574 2.578 2.636 2.634 2.709 2.623 2.647 2.708 2.477
Close/Last 2.640 2.664 2.619 2.658 2.643 2.684 2.780 2.717 2.818 2.863 2.713 2.575

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