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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August Natural Gas(NYM) as of May 16, 2024
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   33 33 33 33 33 33 33 33 33 34 34
Closed Higher   17 17 13 10 12 17 18 21 21 15 14
Exceeded High   14 13 10 8 9 15 14 21 20 11 6
Scenario Percentage   82% 76% 77% 80% 75% 88% 78% 100% 95% 73% 43%
Avg Max Increase   8.77% 7.11% 6.97% 9.67% 14.61% 15.22% 17.30% 17.37% 15.59% 17.85% 10.26%
Max Increase   23.34% 15.36% 15.93% 26.45% 41.51% 29.66% 48.98% 63.66% 47.41% 39.24% 18.75%
Avg Days To Max Increase   19 18 14 20 19 23 17 16 14 20 16
Avg Max Decline   -2.49% -3.58% -2.66% -3.75% -1.80% -3.55% -2.64% -3.85% -5.31% -7.77% -3.71%
Max Decline   -6.52% -13.01% -9.95% -13.33% -5.68% -15.21% -6.66% -8.17% -12.70% -34.57% -12.28%
Avg Days to Max Decline   10 10 4 16 7 10 9 11 10 13 5
2024 Contract Condition       Yes             Yes  
Action       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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   33 33 33 33 33 33 33 33 33 34 34
Closed Lower   16 16 20 23 21 16 15 12 12 19 20
Penetrated Low   12 14 16 20 15 13 10 11 10 17 15
Scenario Percentage   75% 88% 80% 87% 71% 81% 67% 92% 83% 89% 75%
Avg Max Decline   8.78% 7.93% 12.00% 12.09% 11.39% 13.09% 11.43% 10.83% 15.08% 14.80% 9.83%
Max Decline   21.05% 17.97% 22.09% 29.97% 34.88% 25.57% 24.82% 27.18% 36.75% 28.58% 16.43%
Avg Days To Max Decline   17 21 20 15 15 19 17 19 18 17 16
Avg Max Increase   -1.69% -4.13% -2.38% -1.99% -2.25% -5.04% -5.81% -4.40% -5.06% -6.14% -2.77%
Max Increase   -6.55% -10.48% -11.90% -7.11% -11.65% -11.28% -21.80% -11.46% -10.17% -14.97% -11.11%
Avg Days to Max Increase   10 13 8 8 5 14 10 11 11 8 4
2024 Contract Condition   Yes Yes   Yes Yes Yes Yes Yes Yes    
Action   Yes Yes   Yes Yes Yes No Yes Not Yet    
High 3.448 3.480 3.408 3.558 3.592 3.030 3.057 2.642 2.716 2.555 2.812  
Low 3.309 3.283 3.250 3.264 2.968 2.500 2.554 2.207 2.369 2.360 2.380  
Close/Last 3.379 3.367 3.319 3.522 3.002 2.697 2.598 2.584 2.442 2.438 2.749  

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