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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November Natural Gas(NYM) as of May 10, 2021
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   30 30 30 30 30 30 31 31 31 31 31
Closed Higher   10 14 14 18 20 20 14 12 12 15 16
Exceeded High   7 10 13 14 20 17 9 6 10 13 14
Scenario Percentage   70% 71% 93% 78% 100% 85% 64% 50% 83% 87% 88%
Avg Max Increase   10.27% 12.31% 12.39% 14.29% 13.06% 11.82% 8.88% 18.50% 23.74% 14.20% 10.81%
Max Increase   25.82% 36.54% 27.29% 40.36% 49.68% 42.55% 17.99% 61.21% 71.77% 34.66% 25.39%
Avg Days To Max Increase   16 19 25 19 16 15 19 20 18 14 17
Avg Max Decline   -1.61% -1.46% -2.76% -1.92% -2.77% -3.81% -5.43% -5.21% -5.46% -4.84% -4.80%
Max Decline   -4.68% -5.09% -5.09% -7.06% -7.12% -11.02% -16.13% -16.70% -20.10% -18.73% -14.71%
Avg Days to Max Decline   12 6 13 6 9 8 12 9 10 10 5
2020 Contract Condition     Yes     Yes Yes     Yes Yes  
Action     Yes     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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   30 30 30 30 30 30 31 31 31 31 31
Closed Lower   20 16 16 12 10 10 17 19 19 16 15
Penetrated Low   17 13 13 6 9 8 14 16 15 14 13
Scenario Percentage   85% 81% 81% 50% 90% 80% 82% 84% 79% 88% 87%
Avg Max Decline   10.80% 8.21% 9.58% 9.91% 8.62% 11.23% 12.20% 12.07% 12.91% 16.24% 9.81%
Max Decline   27.32% 24.57% 20.93% 16.57% 23.43% 30.43% 22.33% 26.51% 25.58% 35.90% 22.82%
Avg Days To Max Decline   15 15 19 19 21 20 22 20 14 16 18
Avg Max Increase   -1.85% -2.24% -4.16% -2.77% -3.88% -3.60% -5.60% -3.57% -4.65% -5.35% -5.04%
Max Increase   -5.70% -8.20% -10.46% -7.86% -11.43% -9.07% -14.01% -9.10% -11.98% -16.44% -20.08%
Avg Days to Max Increase   8 8 8 7 11 10 11 16 6 13 5
2020 Contract Condition   Yes   Yes Yes     Yes Yes     Yes
Action   Yes   Yes Yes     Yes No     Yes
High 2.500 2.554 2.436 2.439 2.316 2.400 2.693 2.794 2.422 2.562 2.973 3.002
Low 2.394 2.371 2.358 2.230 2.082 2.072 2.255 2.337 2.133 2.219 2.447 2.425
Close/Last 2.491 2.373 2.427 2.252 2.113 2.295 2.662 2.389 2.282 2.418 2.920 2.527

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