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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March RBOB Gasoline(NYM) as of Nov 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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   13 22 25 26 29 30 31 32 32 32 32
Closed Higher   9 16 13 14 19 15 15 15 14 19 19
Exceeded High   8 14 10 13 17 13 14 8 11 19 12
Scenario Percentage   89% 88% 77% 93% 89% 87% 93% 53% 79% 100% 63%
Avg Max Increase   9.48% 8.98% 8.57% 9.99% 10.35% 8.99% 6.73% 11.83% 12.81% 10.92% 9.55%
Max Increase   24.62% 32.02% 15.22% 26.75% 57.53% 31.03% 20.25% 18.41% 23.07% 31.11% 16.89%
Avg Days To Max Increase   18 15 18 19 16 13 13 25 18 16 15
Avg Max Decline   -1.64% -1.46% -1.77% -2.22% -1.09% -1.66% -2.08% -2.38% -3.45% -2.76% -2.60%
Max Decline   -5.80% -7.25% -5.54% -13.08% -8.58% -10.27% -10.51% -5.76% -12.03% -11.73% -13.95%
Avg Days to Max Decline   7 7 8 10 9 6 5 17 5 11 3
2018 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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   13 22 25 26 29 30 31 32 32 32 32
Closed Lower   3 6 12 12 10 15 16 17 18 13 13
Penetrated Low     4 7 9 7 10 12 14 13 7 8
Scenario Percentage   0% 67% 58% 75% 70% 67% 75% 82% 72% 54% 62%
Avg Max Decline     8.84% 9.05% 10.58% 11.51% 13.55% 14.24% 14.47% 15.70% 21.20% 11.26%
Max Decline     21.39% 16.48% 30.04% 25.77% 48.34% 55.77% 45.55% 32.34% 43.15% 29.14%
Avg Days To Max Decline     16 17 15 17 18 16 17 18 16 13
Avg Max Increase     -2.53% -0.43% -2.10% -2.67% -1.89% -0.92% -2.42% -2.70% -4.58% -1.23%
Max Increase     -6.37% -2.09% -8.82% -11.97% -11.93% -7.32% -6.63% -10.96% -17.88% -7.99%
Avg Days to Max Increase     6 4 10 13 13 5 2 12 8 2
2018 Contract Condition   Yes Yes   Yes              
Action   Yes Yes   No              
High 157.97 153.02 156.51 150.47 144.59 152.04 153.34 165.63 173.80 181.99    
Low 151.00 139.92 142.32 134.56 129.97 135.98 142.92 150.00 155.42 171.56    
Close/Last 153.77 148.57 143.08 143.45 140.71 151.92 153.28 160.24 172.60 175.70    

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