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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May RBOB Gasoline(NYM) as of Jan 21, 2022
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   16 27 29 31 34 35 36 36 36 36 36
Closed Higher   9 16 17 18 14 19 20 20 22 19 26
Exceeded High   7 15 15 14 12 13 17 20 20 19 20
Scenario Percentage   78% 94% 88% 78% 86% 68% 85% 100% 91% 100% 77%
Avg Max Increase   7.98% 8.18% 9.98% 8.28% 7.76% 10.14% 13.25% 11.52% 13.90% 17.40% 10.28%
Max Increase   14.52% 26.43% 52.64% 28.22% 17.98% 17.01% 24.88% 29.01% 31.39% 47.38% 22.82%
Avg Days To Max Increase   17 18 18 15 15 24 17 18 19 19 20
Avg Max Decline   -0.56% -1.97% -1.26% -1.19% -1.71% -1.69% -1.70% -2.00% -4.26% -3.86% -2.77%
Max Decline   -3.30% -11.73% -7.94% -3.56% -7.87% -5.12% -8.63% -9.31% -17.17% -14.16% -8.74%
Avg Days to Max Decline   2 12 8 8 5 16 5 9 10 9 3
2021 Contract Condition   Yes Yes Yes Yes     Yes Yes Yes Yes Yes
Action   Yes Yes Yes No     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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   16 27 29 31 34 35 36 36 36 36 36
Closed Lower   7 11 12 13 19 16 16 16 14 17 10
Penetrated Low   5 7 8 7 15 14 14 10 9 11 6
Scenario Percentage   71% 64% 67% 54% 79% 88% 88% 63% 64% 65% 60%
Avg Max Decline   8.42% 9.95% 10.24% 15.19% 12.59% 14.44% 13.59% 14.96% 19.69% 14.33% 8.45%
Max Decline   13.48% 24.71% 23.72% 45.12% 51.46% 41.40% 28.66% 40.25% 72.41% 68.82% 14.32%
Avg Days To Max Decline   19 18 20 18 16 17 19 16 14 14 13
Avg Max Increase   -0.55% -2.66% -1.68% -0.32% -0.74% -1.99% -2.43% -3.39% -1.71% -4.16% -2.74%
Max Increase   -1.90% -7.88% -10.59% -2.70% -6.82% -5.02% -12.19% -9.03% -7.53% -10.04% -5.59%
Avg Days to Max Increase   5 12 10 6 8 2 11 13 7 17 4
2021 Contract Condition           Yes Yes          
Action           Yes Yes          
High 108.00 120.96 134.70 134.62 141.20 140.70 135.16 143.35 153.83 171.21 198.11 215.48
Low 89.58 98.04 119.53 125.97 129.43 126.79 116.69 114.23 138.42 149.77 164.92 186.97
Close/Last 100.36 120.96 126.61 129.67 138.24 134.16 118.58 140.76 153.56 165.77 194.17 195.97

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