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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   28 29 29 29 29 29 29 29 29 29 30
Closed Higher   13 14 13 9 9 12 15 16 19 18 13
Exceeded High   10 11 10 7 7 9 13 12 19 17 8
Scenario Percentage   77% 79% 77% 78% 78% 75% 87% 75% 100% 94% 62%
Avg Max Increase   12.91% 7.83% 7.08% 8.39% 11.39% 17.27% 15.28% 19.89% 14.78% 13.51% 8.78%
Max Increase   40.16% 22.45% 15.07% 16.38% 26.86% 45.30% 32.40% 51.42% 53.57% 45.35% 19.70%
Avg Days To Max Increase   21 18 19 15 20 19 24 18 17 13 13
Avg Max Decline   -3.16% -2.26% -3.87% -2.95% -3.48% -1.77% -3.49% -2.76% -4.64% -5.25% -3.05%
Max Decline   -10.94% -4.34% -12.87% -10.14% -11.21% -5.67% -6.30% -7.01% -8.65% -14.73% -12.76%
Avg Days to Max Decline   13 12 11 6 20 8 9 9 12 8 2
2019 Contract Condition     Yes   Yes Yes   Yes Yes      
Action     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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   28 29 29 29 29 29 29 29 29 29 30
Closed Lower   15 15 14 19 20 17 14 12 10 11 17
Penetrated Low   12 13 12 14 16 14 11 7 10 8 12
Scenario Percentage   80% 87% 86% 74% 80% 82% 79% 58% 100% 73% 71%
Avg Max Decline   7.83% 8.30% 8.43% 12.62% 13.53% 10.21% 13.42% 13.21% 10.95% 13.95% 9.40%
Max Decline   16.71% 21.80% 18.48% 22.56% 30.46% 28.87% 26.72% 25.30% 28.35% 28.02% 14.06%
Avg Days To Max Decline   19 16 22 19 15 16 23 20 19 17 17
Avg Max Increase   -1.61% -1.33% -4.91% -1.83% -2.20% -2.85% -5.82% -4.67% -4.20% -4.45% -3.73%
Max Increase   -5.10% -3.76% -19.21% -5.86% -7.26% -12.14% -11.88% -20.94% -11.42% -10.19% -13.44%
Avg Days to Max Increase   3 12 13 5 6 6 9 12 6 9 4
2019 Contract Condition   Yes   Yes     Yes     Yes Yes Yes
Action   Yes   No     Yes     Yes Yes Yes
High 2.723 2.706 2.740 2.692 2.778 2.857 2.952 2.956 2.919 2.990 2.827 2.731
Low 2.641 2.608 2.607 2.608 2.671 2.667 2.751 2.666 2.701 2.768 2.534 2.444
Close/Last 2.695 2.651 2.690 2.675 2.722 2.805 2.760 2.865 2.905 2.772 2.617 2.454

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