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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   33 33 33 33 33 33 33 34 34 34 34
Closed Higher   13 10 15 15 19 21 21 17 14 13 18
Exceeded High   10 7 11 14 14 21 20 12 10 12 12
Scenario Percentage   77% 70% 73% 93% 74% 100% 95% 71% 71% 92% 67%
Avg Max Increase   6.83% 10.58% 12.93% 14.62% 16.14% 16.31% 13.99% 16.09% 17.21% 29.54% 16.46%
Max Increase   15.70% 26.17% 40.28% 29.61% 45.23% 62.44% 44.79% 37.75% 73.17% 68.95% 32.10%
Avg Days To Max Increase   13 16 20 23 17 17 15 18 17 17 20
Avg Max Decline   -2.58% -2.05% -2.27% -3.49% -2.10% -3.39% -4.70% -3.81% -6.10% -5.03% -3.32%
Max Decline   -9.46% -5.13% -5.67% -15.07% -6.85% -7.82% -11.85% -12.50% -17.71% -12.12% -7.53%
Avg Days to Max Decline   6 13 9 8 7 10 10 8 11 6 5
2023 Contract Condition     Yes             Yes   Yes
Action     No             Yes   Not Yet
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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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   33 33 33 33 33 33 33 34 34 34 34
Closed Lower   18 21 18 18 14 12 12 17 20 21 16
Penetrated Low   14 18 14 14 8 11 10 16 16 18 12
Scenario Percentage   78% 86% 78% 78% 57% 92% 83% 94% 80% 86% 75%
Avg Max Decline   12.05% 11.48% 11.16% 12.39% 12.52% 9.83% 13.71% 14.48% 15.24% 14.65% 12.42%
Max Decline   21.74% 28.99% 33.90% 24.63% 24.02% 25.09% 34.29% 26.66% 30.69% 38.37% 28.90%
Avg Days To Max Decline   18 12 16 19 16 20 19 21 22 12 15
Avg Max Increase   -2.60% -1.97% -2.30% -4.54% -3.64% -4.22% -4.98% -5.43% -6.19% -6.54% -4.87%
Max Increase   -11.21% -6.24% -9.20% -10.64% -8.46% -11.44% -10.74% -14.11% -31.42% -14.39% -14.29%
Avg Days to Max Increase   9 7 6 11 5 11 11 10 19 6 6
2023 Contract Condition   Yes   Yes Yes Yes Yes Yes Yes   Yes  
Action   Yes   Yes Yes Yes Yes Yes Yes   Yes  
High 6.000 5.261 5.457 5.454 4.153 3.416 3.570 2.858 2.942 2.970 2.874 3.096
Low 4.854 4.582 4.666 4.123 3.192 2.759 2.717 2.515 2.434 2.377 2.581 2.529
Close/Last 4.965 4.907 5.350 4.174 3.324 3.310 2.847 2.722 2.478 2.847 2.741 2.768

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