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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 06, 2024
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   34 34 34 34 34 34 34 34 35 35 35
Closed Higher   16 14 10 13 16 19 21 23 16 14 13
Exceeded High   12 11 7 11 15 16 21 22 12 10 12
Scenario Percentage   75% 79% 70% 85% 94% 84% 100% 96% 75% 71% 92%
Avg Max Increase   6.45% 6.39% 10.29% 12.98% 14.90% 15.37% 17.03% 16.03% 17.63% 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 12 20 18 23 16 17 15 19 16 16
Avg Max Decline   -3.81% -2.73% -2.05% -1.38% -3.35% -2.60% -3.67% -4.72% -4.00% -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
2024 Contract Condition     Yes           Yes Yes    
Action     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   34 34 34 34 34 34 34 34 35 35 35
Closed Lower   18 20 24 21 16 15 13 11 19 21 22
Penetrated Low   14 16 21 17 13 10 12 9 17 18 17
Scenario Percentage   78% 80% 88% 81% 81% 67% 92% 82% 89% 86% 77%
Avg Max Decline   8.56% 11.92% 12.13% 11.18% 13.41% 10.90% 9.65% 15.68% 15.24% 14.83% 11.70%
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   21 18 14 16 22 16 20 19 21 16 18
Avg Max Increase   -4.33% -2.38% -1.84% -2.80% -4.61% -5.15% -4.23% -4.53% -5.72% -4.34% -5.98%
Max Increase   -10.43% -11.42% -6.49% -13.51% -10.77% -23.15% -11.31% -10.27% -14.77% -13.49% -16.17%
Avg Days to Max Increase   15 8 6 6 11 9 11 11 12 15 5
2024 Contract Condition   Yes   Yes Yes Yes Yes Yes     Yes Yes
Action   Yes   Yes Yes Yes No Yes     Yes Yes
High 3.466 3.388 3.527 3.572 3.019 3.033 2.624 2.698 2.555 3.140 3.193 2.599
Low 3.258 3.227 3.236 2.960 2.475 2.533 2.198 2.368 2.354 2.400 2.591 1.991
Close/Last 3.348 3.296 3.504 2.993 2.672 2.579 2.567 2.437 2.458 2.651 2.598 2.036

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