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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September RBOB Gasoline(NYM) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   9 21 23 26 26 27 28 29 29 29 29
Closed Higher   4 10 10 14 16 16 24 21 14 14 19
Exceeded High   4 6 9 13 14 15 21 18 12 14 17
Scenario Percentage   100% 60% 90% 93% 88% 94% 88% 86% 86% 100% 89%
Avg Max Increase   7.42% 7.57% 9.83% 10.01% 13.03% 12.84% 10.57% 10.11% 8.41% 11.56% 13.75%
Max Increase   16.67% 11.49% 20.78% 19.30% 30.40% 23.87% 29.60% 39.34% 13.06% 38.03% 77.71%
Avg Days To Max Increase   14 25 16 19 18 18 15 15 16 15 18
Avg Max Decline   -0.95% -1.59% -1.04% -0.69% -3.12% -1.42% -2.89% -1.90% -4.10% -4.17% -1.71%
Max Decline   -1.81% -2.49% -7.53% -7.48% -16.73% -5.52% -9.33% -10.88% -10.39% -15.86% -8.58%
Avg Days to Max Decline   8 13 8 9 9 7 6 6 13 10 5
2013 Contract Condition       Yes   Yes   Yes       Yes
Action       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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   9 21 23 26 26 27 28 29 29 29 29
Closed Lower   5 11 13 12 10 11 4 8 15 15 10
Penetrated Low   4 9 10 7 5 5 3 6 11 9 6
Scenario Percentage   80% 82% 77% 58% 50% 45% 75% 75% 73% 60% 60%
Avg Max Decline   14.80% 12.04% 11.23% 14.50% 13.61% 9.24% 6.46% 8.48% 10.41% 9.28% 10.18%
Max Decline   48.31% 38.42% 26.77% 38.53% 37.23% 21.49% 10.97% 21.11% 19.59% 20.50% 22.97%
Avg Days To Max Decline   8 14 20 15 19 14 10 16 19 14 15
Avg Max Increase   -0.14% -1.71% 0.14% -1.86% -0.64% -3.28% -1.34% -2.85% -1.80% -3.22% -2.23%
Max Increase   -2.00% -5.28% -6.38% -5.91% -6.05% -8.64% -4.73% -7.50% -9.98% -9.82% -5.05%
Avg Days to Max Increase   4 5 8 6 5 14 12 16 9 7 2
2013 Contract Condition   Yes Yes   Yes   Yes   Yes Yes Yes  
Action   Yes Yes   No   Yes   No No No  
High 278.55 284.52 277.89 275.29 276.42 293.46 306.44 299.03 298.25 284.51 288.21 309.17
Low 254.19 264.57 260.27 260.13 263.38 272.77 284.15 281.86 261.33 262.46 266.21 268.91
Close/Last 278.55 272.44 263.29 274.53 273.79 293.14 285.95 295.47 272.08 271.21 269.88 299.63

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