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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 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   17 25 27 28 31 35 35 36 36 36 36
Closed Higher   8 15 19 19 16 17 24 19 20 18 16
Exceeded High   7 14 18 16 13 16 22 16 19 12 12
Scenario Percentage   88% 93% 95% 84% 81% 94% 92% 84% 95% 67% 75%
Avg Max Increase   8.94% 9.73% 9.77% 8.95% 8.63% 9.08% 11.22% 9.86% 7.57% 10.38% 9.91%
Max Increase   15.14% 21.47% 26.16% 34.34% 16.16% 30.83% 64.52% 32.03% 20.91% 20.41% 14.97%
Avg Days To Max Increase   19 19 17 16 22 18 19 16 11 18 25
Avg Max Decline   -4.29% -2.01% -2.44% -2.25% -2.89% -2.77% -2.27% -3.15% -2.77% -2.02% -2.90%
Max Decline   -16.28% -13.63% -8.85% -8.17% -10.30% -14.30% -13.96% -12.01% -13.00% -6.97% -6.96%
Avg Days to Max Decline   8 12 6 7 7 12 10 7 6 12 5
2021 Contract Condition           Yes Yes Yes Yes     Yes
Action           Yes Yes Yes No     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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   17 25 27 28 31 35 35 36 36 36 36
Closed Lower   9 10 7 9 15 18 11 17 16 18 20
Penetrated Low   6 4 4 5 9 11 8 10 12 15 15
Scenario Percentage   67% 40% 57% 56% 60% 61% 73% 59% 75% 83% 75%
Avg Max Decline   13.95% 17.67% 8.23% 9.64% 9.43% 9.93% 11.31% 14.73% 14.95% 16.87% 13.09%
Max Decline   49.07% 46.58% 15.83% 22.15% 17.16% 31.88% 25.96% 49.96% 58.32% 48.71% 35.10%
Avg Days To Max Decline   12 17 12 18 18 17 19 18 14 17 19
Avg Max Increase   -2.24% -2.77% -4.75% -3.65% -0.72% -2.63% -2.63% -0.97% -1.96% -2.75% -2.44%
Max Increase   -7.12% -6.63% -12.32% -6.75% -2.27% -8.83% -12.80% -3.73% -8.43% -8.48% -12.20%
Avg Days to Max Increase   6 11 11 13 5 8 11 10 7 2 4
2021 Contract Condition   Yes Yes Yes Yes         Yes Yes  
Action   Yes Yes Yes No         Yes Yes  
High 161.00 163.98 148.61 134.70 90.05 101.50 117.00 116.10 122.74 120.91 119.44 128.15
Low 147.88 138.00 125.29 70.66 67.48 76.33 98.84 105.65 108.28 105.88 100.15 96.66
Close/Last 157.52 138.73 126.33 80.17 79.60 100.72 107.69 109.15 118.08 116.33 102.72 124.16

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