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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   29 29 29 29 29 29 29 29 30 30 30
Closed Higher   14 10 9 12 14 17 19 19 13 12 10
Exceeded High   10 7 7 10 13 15 19 18 9 8 9
Scenario Percentage   71% 70% 78% 83% 93% 88% 100% 95% 69% 67% 90%
Avg Max Increase   6.01% 8.04% 10.29% 14.17% 14.27% 16.14% 14.19% 14.27% 14.87% 14.51% 13.26%
Max Increase   14.51% 15.76% 25.70% 40.58% 29.66% 48.89% 51.66% 46.20% 29.47% 44.05% 28.45%
Avg Days To Max Increase   17 14 20 18 23 17 17 15 20 16 14
Avg Max Decline   -4.08% -3.04% -2.05% -1.27% -2.97% -2.52% -3.75% -4.83% -5.37% -6.48% -5.13%
Max Decline   -12.68% -9.97% -5.31% -5.36% -5.14% -6.78% -7.94% -12.27% -11.97% -18.51% -11.41%
Avg Days to Max Decline   11 6 14 7 12 8 10 10 11 9 4
2019 Contract Condition     Yes Yes   Yes Yes          
Action     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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   29 29 29 29 29 29 29 29 30 30 30
Closed Lower   15 19 20 17 13 12 10 10 17 18 20
Penetrated Low   11 15 17 15 10 8 10 8 15 16 15
Scenario Percentage   73% 79% 85% 88% 77% 67% 100% 80% 88% 89% 75%
Avg Max Decline   8.85% 11.63% 12.22% 9.17% 12.90% 10.19% 9.64% 15.84% 15.61% 14.86% 12.20%
Max Decline   17.97% 22.07% 29.50% 28.61% 25.24% 22.92% 25.63% 35.19% 27.88% 32.40% 26.31%
Avg Days To Max Decline   20 17 14 15 22 17 22 21 22 16 17
Avg Max Increase   -3.28% -1.77% -1.87% -2.35% -4.75% -4.33% -4.55% -3.96% -6.35% -4.28% -4.94%
Max Increase   -10.43% -5.87% -6.49% -10.41% -10.77% -23.15% -11.31% -10.27% -14.77% -13.49% -16.17%
Avg Days to Max Increase   12 7 5 6 10 10 11 10 13 17 4
2019 Contract Condition   Yes     Yes     Yes Yes Yes Yes Yes
Action   No     Yes     Yes Yes Yes Yes Yes
High 2.727 2.670 2.758 2.831 2.921 2.940 2.913 2.991 2.843 2.741 2.466 2.476
Low 2.598 2.594 2.660 2.638 2.718 2.637 2.695 2.789 2.559 2.447 2.115 2.101
Close/Last 2.672 2.660 2.709 2.785 2.725 2.841 2.907 2.793 2.637 2.450 2.282 2.233

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