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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 Dec 27, 2023
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   33 33 33 33 33 33 33 33 34 34 34
Closed Higher   16 13 10 13 16 18 21 22 15 14 13
Exceeded High   12 10 7 11 15 15 21 21 11 10 12
Scenario Percentage   75% 77% 70% 85% 94% 83% 100% 95% 73% 71% 92%
Avg Max Increase   6.45% 6.84% 10.29% 12.98% 14.90% 16.14% 17.03% 15.37% 17.38% 14.62% 16.49%
Max Increase   14.51% 15.76% 25.70% 40.58% 29.66% 48.89% 63.48% 46.20% 38.74% 44.05% 44.41%
Avg Days To Max Increase   17 13 20 18 23 17 17 15 20 16 16
Avg Max Decline   -3.81% -2.78% -2.05% -1.38% -3.35% -2.52% -3.67% -4.84% -4.32% -6.68% -4.69%
Max Decline   -12.68% -9.97% -5.31% -5.36% -15.19% -6.78% -7.94% -12.27% -11.97% -18.51% -11.41%
Avg Days to Max Decline   11 5 14 7 11 8 10 10 9 11 5
2023 Contract Condition       Yes             Yes  
Action       No             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   33 33 33 33 33 33 33 33 34 34 34
Closed Lower   17 20 23 20 15 15 12 11 19 20 21
Penetrated Low   13 16 20 16 12 10 11 9 17 17 16
Scenario Percentage   76% 80% 87% 80% 80% 67% 92% 82% 89% 85% 76%
Avg Max Decline   8.44% 11.92% 11.87% 10.77% 13.30% 10.90% 10.22% 15.68% 15.24% 14.25% 11.93%
Max Decline   17.97% 22.07% 29.50% 34.67% 25.24% 24.82% 25.63% 35.19% 27.88% 32.40% 26.31%
Avg Days To Max Decline   20 18 14 16 22 16 20 19 21 16 17
Avg Max Increase   -4.02% -2.38% -1.89% -2.13% -4.85% -5.15% -4.21% -4.53% -5.72% -4.59% -5.54%
Max Increase   -10.43% -11.42% -6.49% -10.41% -10.77% -23.15% -11.31% -10.27% -14.77% -13.49% -16.17%
Avg Days to Max Increase   14 8 7 5 12 9 11 11 12 16 4
2023 Contract Condition   Yes Yes   Yes Yes Yes Yes Yes Yes   Yes
Action   Yes Yes   Yes Yes Yes Yes Yes Yes   Yes
High 5.903 5.925 5.193 5.396 5.396 4.061 3.342 3.494 2.773 2.864 2.911 2.780
Low 4.692 4.790 4.517 4.612 4.058 3.114 2.685 2.620 2.429 2.309 2.249 2.477
Close/Last 5.842 4.894 4.843 5.288 4.110 3.251 3.231 2.750 2.626 2.358 2.774 2.634

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