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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Natural Gas(NYM) as of Jun 08, 2020
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   28 29 29 29 29 30 30 30 30 30 30
Closed Higher   13 15 18 19 20 13 11 13 15 15 10
Exceeded High   9 13 14 19 17 8 6 10 12 13 4
Scenario Percentage   69% 87% 78% 100% 85% 62% 55% 77% 80% 87% 40%
Avg Max Increase   12.93% 11.59% 12.66% 11.74% 10.93% 8.83% 13.88% 19.77% 15.24% 20.66% 28.63%
Max Increase   32.50% 25.43% 34.97% 48.25% 40.77% 15.24% 52.45% 67.45% 32.88% 69.88% 51.15%
Avg Days To Max Increase   20 24 18 18 15 18 11 20 14 16 10
Avg Max Decline   -1.60% -2.36% -1.99% -2.67% -2.82% -2.46% -2.29% -4.43% -2.84% -4.99% -3.39%
Max Decline   -4.82% -4.63% -6.82% -6.82% -9.58% -5.95% -7.11% -13.32% -7.45% -17.06% -7.26%
Avg Days to Max Decline   6 8 4 11 7 9 6 8 8 7 2
2019 Contract Condition     Yes Yes             Yes Yes
Action     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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   28 29 29 29 29 30 30 30 30 30 30
Closed Lower   15 14 11 10 9 17 19 17 15 15 20
Penetrated Low   12 11 4 10 8 14 17 15 13 14 15
Scenario Percentage   80% 79% 36% 100% 89% 82% 89% 88% 87% 93% 75%
Avg Max Decline   7.32% 9.33% 11.04% 7.30% 10.15% 10.61% 10.50% 10.39% 14.33% 15.23% 10.35%
Max Decline   21.07% 18.72% 14.25% 21.83% 28.01% 19.21% 23.07% 24.65% 30.31% 29.25% 18.72%
Avg Days To Max Decline   12 20 22 21 19 23 20 14 17 18 16
Avg Max Increase   -2.05% -3.76% -1.56% -4.15% -3.40% -4.84% -2.76% -4.22% -2.90% -7.70% -4.39%
Max Increase   -7.66% -8.82% -3.52% -11.38% -8.62% -14.34% -7.63% -10.56% -11.02% -31.20% -16.04%
Avg Days to Max Increase   8 9 5 15 15 11 14 7 10 17 5
2019 Contract Condition   Yes     Yes Yes Yes Yes Yes Yes    
Action   Yes     Yes Yes Yes Yes Yes No    
High 3.022 3.130 3.147 3.105 3.165 3.072 3.009 2.785 2.768 2.595 2.884 2.738
Low 2.852 2.939 2.862 2.925 3.002 2.833 2.765 2.440 2.417 2.339 2.472 2.388
Close/Last 2.999 2.946 3.067 3.105 3.005 2.902 2.767 2.595 2.520 2.485 2.504 2.633

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