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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 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   34 34 34 34 34 34 34 35 35 35 35
Closed Higher   14 10 15 15 20 21 22 18 14 13 18
Exceeded High   11 7 11 14 15 21 21 13 10 12 12
Scenario Percentage   79% 70% 73% 93% 75% 100% 95% 72% 71% 92% 67%
Avg Max Increase   6.38% 10.58% 12.93% 14.62% 15.30% 16.31% 14.60% 16.28% 17.21% 28.96% 15.89%
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   12 16 20 23 16 17 15 17 17 17 19
Avg Max Decline   -2.56% -2.05% -2.27% -3.49% -2.21% -3.39% -4.57% -3.59% -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 6 10 9 7 11 6 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   34 34 34 34 34 34 34 35 35 35 35
Closed Lower   18 22 19 19 14 13 12 17 21 22 17
Penetrated Low   14 19 15 15 8 12 10 16 17 19 12
Scenario Percentage   78% 86% 79% 79% 57% 92% 83% 94% 81% 86% 71%
Avg Max Decline   12.05% 11.79% 11.54% 12.52% 12.52% 9.25% 13.71% 14.48% 15.87% 14.30% 11.86%
Max Decline   21.74% 28.99% 33.90% 24.63% 24.02% 25.09% 34.29% 26.66% 30.69% 38.37% 27.25%
Avg Days To Max Decline   18 12 16 19 16 20 19 21 21 12 15
Avg Max Increase   -2.60% -1.90% -3.01% -4.35% -3.64% -4.19% -4.98% -5.43% -5.83% -6.39% -4.87%
Max Increase   -11.21% -6.24% -13.02% -10.64% -8.46% -11.44% -10.74% -14.11% -31.42% -14.39% -14.29%
Avg Days to Max Increase   9 7 6 10 5 11 11 10 18 6 6
2024 Contract Condition     Yes Yes Yes Yes Yes     Yes Yes Yes
Action     Yes Yes Yes No Yes     Yes Yes Not Yet
High 3.476 3.607 3.648 3.095 3.099 2.704 2.761 2.654 3.194 3.254 2.694 2.421
Low 3.318 3.314 3.041 2.539 2.614 2.277 2.463 2.458 2.512 2.685 2.113 1.991
Close/Last 3.379 3.581 3.072 2.742 2.661 2.640 2.530 2.564 2.744 2.692 2.162 2.127

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