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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 Sep 30, 2024
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   32 33 33 33 33 34 34 34 34 34 34
Closed Higher   14 17 19 21 23 15 13 16 19 16 12
Exceeded High   10 15 14 21 20 10 8 13 14 14 4
Scenario Percentage   71% 88% 74% 100% 87% 67% 62% 81% 74% 88% 33%
Avg Max Increase   11.72% 12.28% 12.66% 14.26% 12.08% 12.35% 14.38% 22.81% 16.66% 19.90% 28.63%
Max Increase   32.50% 25.43% 34.97% 58.71% 40.77% 34.62% 52.45% 67.45% 46.02% 69.88% 51.15%
Avg Days To Max Increase   19 24 18 17 15 17 14 21 14 15 10
Avg Max Decline   -1.55% -2.82% -1.99% -2.56% -3.04% -1.89% -2.70% -4.22% -3.15% -5.00% -3.39%
Max Decline   -4.82% -13.47% -6.82% -6.82% -10.36% -5.95% -7.11% -13.32% -10.20% -17.06% -7.26%
Avg Days to Max Decline   6 8 4 10 7 8 10 8 9 7 2
2024 Contract Condition           Yes Yes       Yes  
Action           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   32 33 33 33 33 34 34 34 34 34 34
Closed Lower   18 16 14 12 10 19 21 18 15 18 22
Penetrated Low   13 13 6 11 9 16 18 16 13 17 16
Scenario Percentage   72% 81% 43% 92% 90% 84% 86% 89% 87% 94% 73%
Avg Max Decline   8.77% 9.38% 10.50% 7.50% 10.06% 9.85% 9.97% 10.31% 14.33% 16.01% 10.60%
Max Decline   26.12% 18.72% 17.01% 21.83% 28.01% 19.21% 23.07% 24.65% 30.31% 29.25% 18.72%
Avg Days To Max Decline   13 20 18 21 17 22 19 15 17 19 17
Avg Max Increase   -1.80% -3.63% -3.06% -3.61% -3.39% -4.44% -3.08% -4.55% -2.90% -7.96% -4.63%
Max Increase   -7.66% -8.82% -6.94% -11.38% -8.62% -14.34% -8.47% -10.56% -11.02% -31.20% -16.04%
Avg Days to Max Increase   8 13 5 14 16 10 13 8 10 16 5
2024 Contract Condition   Yes Yes Yes Yes     Yes Yes Yes    
Action   Yes Yes No No     Yes Yes Yes    
High 4.429 3.965 3.857 3.578 3.580 3.607 3.867 3.959 3.561 3.395 3.368  
Low 3.913 3.302 3.486 3.208 3.358 3.389 3.413 3.520 3.137 3.019 2.975  
Close/Last 3.935 3.539 3.537 3.499 3.442 3.527 3.561 3.558 3.192 3.037 3.345  

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