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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 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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   29 30 30 30 30 31 31 31 31 31 31
Closed Higher   14 15 18 20 21 13 11 14 16 15 11
Exceeded High   10 13 14 20 18 8 6 11 13 13 4
Scenario Percentage   71% 87% 78% 100% 86% 62% 55% 79% 81% 87% 36%
Avg Max Increase   11.72% 11.59% 12.66% 12.03% 10.51% 8.83% 13.88% 19.85% 14.41% 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   19 24 18 17 15 18 11 20 15 16 10
Avg Max Decline   -1.55% -2.36% -1.99% -2.58% -2.74% -2.46% -2.29% -3.97% -3.41% -4.99% -3.39%
Max Decline   -4.82% -4.63% -6.82% -6.82% -9.58% -5.95% -7.11% -13.32% -10.20% -17.06% -7.26%
Avg Days to Max Decline   6 8 4 10 7 9 6 7 10 7 2
2020 Contract Condition   Yes     Yes Yes     Yes Yes   Yes
Action   Yes     Yes Yes     Yes 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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   29 30 30 30 30 31 31 31 31 31 31
Closed Lower   15 15 12 10 9 18 20 17 15 16 20
Penetrated Low   12 12 5 10 8 15 17 15 13 15 15
Scenario Percentage   80% 80% 42% 100% 89% 83% 85% 88% 87% 94% 75%
Avg Max Decline   7.32% 9.02% 9.20% 7.30% 10.15% 10.31% 10.50% 10.39% 14.33% 15.48% 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 19 19 21 19 23 20 14 17 18 16
Avg Max Increase   -2.05% -3.68% -2.64% -4.15% -3.40% -4.74% -2.76% -4.22% -2.90% -7.78% -4.39%
Max Increase   -7.66% -8.82% -6.94% -11.38% -8.62% -14.34% -7.63% -10.56% -11.02% -31.20% -16.04%
Avg Days to Max Increase   8 11 6 15 15 11 14 7 10 18 5
2020 Contract Condition     Yes Yes     Yes Yes     Yes  
Action     Yes Yes     Yes No     Yes  
High 2.719 2.614 2.626 2.505 2.641 2.990 3.074 2.908 2.905 3.283 3.370 3.396
Low 2.561 2.533 2.423 2.317 2.305 2.592 2.765 2.637 2.657 2.811 3.023 2.922
Close/Last 2.562 2.603 2.442 2.348 2.615 2.975 2.811 2.747 2.793 3.254 3.117 3.354

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