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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June RBOB Gasoline(NYM) as of Sep 16, 2022
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   19 29 31 34 36 37 37 37 37 37 37
Closed Higher   10 18 17 15 21 20 22 24 19 28 27
Exceeded High   9 16 13 12 14 17 22 21 19 25 21
Scenario Percentage   90% 89% 76% 80% 67% 85% 100% 88% 100% 89% 78%
Avg Max Increase   5.27% 9.37% 8.59% 7.65% 10.13% 12.43% 11.26% 15.57% 16.32% 14.41% 10.83%
Max Increase   11.90% 52.68% 28.27% 17.83% 17.58% 23.63% 29.57% 41.84% 36.66% 36.31% 38.93%
Avg Days To Max Increase   17 19 16 15 24 18 18 20 21 16 16
Avg Max Decline   -2.76% -1.93% -1.27% -1.52% -2.13% -1.77% -1.76% -4.14% -2.76% -3.63% -2.67%
Max Decline   -12.14% -12.86% -3.53% -7.12% -7.76% -8.45% -8.61% -17.33% -14.04% -14.14% -10.36%
Avg Days to Max Decline   5 9 8 5 13 5 8 9 9 5 4
2022 Contract Condition   Yes Yes   Yes Yes   Yes Yes Yes Yes Yes
Action   Yes Yes   Yes No   Yes Yes Yes Yes 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   19 29 31 34 36 37 37 37 37 37 37
Closed Lower   9 11 14 19 15 17 15 13 18 9 10
Penetrated Low   5 8 8 14 13 15 9 8 11 5 5
Scenario Percentage   56% 73% 57% 74% 87% 88% 60% 62% 61% 56% 50%
Avg Max Decline   11.34% 9.79% 13.52% 12.83% 14.42% 12.29% 15.60% 21.20% 13.95% 10.51% 6.33%
Max Decline   24.60% 23.55% 44.81% 50.50% 40.45% 27.97% 39.48% 68.76% 64.69% 18.26% 9.21%
Avg Days To Max Decline   11 20 17 16 17 18 16 15 13 4 10
Avg Max Increase   -0.90% -1.94% -1.36% -0.88% -1.92% -2.50% -2.87% -2.00% -3.24% -2.05% -0.81%
Max Increase   -5.30% -10.55% -9.12% -6.98% -4.79% -11.90% -6.95% -7.04% -9.52% -4.71% -2.60%
Avg Days to Max Increase   8 11 8 7 3 12 8 7 14 3 2
2022 Contract Condition       Yes     Yes          
Action       No     Yes          
High 207.32 217.26 219.06 217.51 225.88 245.64 241.38 237.02 263.14 298.87 370.00 350.15
Low 192.70 203.72 197.12 190.33 207.12 222.54 201.55 198.48 229.56 257.05 281.05 296.49
Close/Last 204.99 213.22 218.42 210.93 223.93 236.55 204.86 230.67 260.86 285.94 309.78 344.24

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