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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January RBOB Gasoline(NYM) as of Sep 30, 2017
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   13 21 23 24 27 31 31 32 32 32 32
Closed Higher   6 14 17 17 13 14 21 16 17 16 13
Exceeded High   5 13 16 15 11 13 19 14 16 10 10
Scenario Percentage   83% 93% 94% 88% 85% 93% 90% 88% 94% 63% 77%
Avg Max Increase   9.08% 9.51% 9.52% 8.98% 8.19% 9.64% 11.60% 9.60% 7.03% 10.33% 8.92%
Max Increase   13.56% 21.47% 26.16% 34.34% 15.81% 30.83% 64.52% 32.03% 20.91% 18.76% 14.22%
Avg Days To Max Increase   17 18 16 16 21 18 18 16 11 16 23
Avg Max Decline   -4.07% -1.98% -2.54% -2.21% -2.30% -2.83% -1.53% -3.20% -2.79% -2.29% -2.95%
Max Decline   -16.28% -13.63% -8.85% -8.17% -5.72% -14.30% -8.98% -12.01% -13.00% -6.97% -6.96%
Avg Days to Max Decline   8 12 7 7 6 13 10 8 6 12 6
2018 Contract Condition           Yes   Yes Yes Yes    
Action           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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   13 21 23 24 27 31 31 32 32 32 32
Closed Lower   7 7 5 7 14 17 10 16 15 16 19
Penetrated Low   4 2 2 4 8 11 8 10 11 13 14
Scenario Percentage   57% 29% 40% 57% 57% 65% 80% 63% 73% 81% 74%
Avg Max Decline   6.08% 7.19% 3.13% 9.68% 9.85% 9.93% 11.31% 14.73% 14.77% 16.56% 12.94%
Max Decline   13.72% 8.18% 3.54% 22.15% 17.16% 31.88% 25.96% 49.96% 58.32% 48.71% 35.10%
Avg Days To Max Decline   9 17 10 17 19 17 19 18 15 18 17
Avg Max Increase   -1.15% -2.64% -0.52% -2.88% -0.67% -2.63% -2.63% -0.97% -1.89% -2.94% -1.98%
Max Increase   -5.27% -5.12% -1.29% -6.58% -2.27% -8.83% -12.80% -3.73% -8.43% -8.48% -12.20%
Avg Days to Max Increase   2 17 15 10 6 8 11 10 7 2 3
2018 Contract Condition   Yes Yes Yes Yes   Yes       Yes  
Action   Yes Yes Yes Yes   No          
High 161.41 164.51 155.63 150.75 154.30 149.38 142.84 149.68 151.78 163.93 157.86  
Low 153.15 151.83 148.37 137.20 138.75 130.24 126.67 132.94 140.32 147.96 153.73  
Close/Last 161.41 152.96 152.00 146.05 139.94 141.22 137.69 149.50 151.65 157.79 155.24  

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