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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, 2016
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   11 23 25 28 28 29 30 31 31 31 31
Closed Higher   4 11 11 15 16 18 24 23 16 16 19
Exceeded High   4 7 10 14 14 17 21 20 14 14 17
Scenario Percentage   100% 64% 91% 93% 88% 94% 88% 87% 88% 88% 89%
Avg Max Increase   7.42% 7.32% 9.21% 9.41% 13.03% 11.83% 10.57% 9.77% 7.99% 13.60% 15.15%
Max Increase   16.67% 11.49% 20.78% 19.30% 30.40% 23.87% 29.60% 39.34% 13.06% 59.71% 77.71%
Avg Days To Max Increase   14 25 17 19 18 19 15 16 16 16 19
Avg Max Decline   -0.95% -1.72% -1.03% -1.02% -3.12% -2.25% -2.89% -2.09% -4.02% -4.17% -1.71%
Max Decline   -1.81% -2.49% -7.53% -7.48% -16.73% -13.47% -9.33% -10.88% -10.39% -15.86% -8.58%
Avg Days to Max Decline   8 12 9 11 9 9 6 7 12 10 5
2015 Contract Condition             Yes   Yes Yes Yes  
Action             Yes   Yes Yes No  
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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   11 23 25 28 28 29 30 31 31 31 31
Closed Lower   7 12 14 13 12 11 6 8 15 15 12
Penetrated Low   6 10 11 8 6 5 4 6 11 9 8
Scenario Percentage   86% 83% 79% 62% 50% 45% 67% 75% 73% 60% 67%
Avg Max Decline   13.68% 13.67% 12.37% 14.18% 11.49% 9.24% 5.64% 8.48% 10.41% 9.28% 11.33%
Max Decline   48.31% 38.42% 26.77% 38.53% 37.23% 21.49% 10.97% 21.11% 19.59% 20.50% 23.81%
Avg Days To Max Decline   10 16 19 15 16 14 8 16 19 14 17
Avg Max Increase   -0.24% -1.51% -0.12% -1.58% -0.61% -3.28% -0.94% -2.85% -1.80% -3.22% -1.67%
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   3 5 7 5 5 14 9 16 9 7 4
2015 Contract Condition   Yes Yes Yes Yes Yes   Yes       Yes
Action   Yes Yes Yes Yes No   No       Yes
High 270.62 265.38 254.24 232.01 203.18 170.73 189.08 189.11 198.23 204.10 208.66 200.76
Low 263.25 251.55 227.14 197.35 166.61 150.81 165.15 163.38 167.78 186.77 188.29 172.68
Close/Last 265.99 252.09 232.67 197.84 171.38 168.05 188.81 170.67 198.03 199.27 199.97 177.20

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