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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October RBOB Gasoline(NYM) as of Jun 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   12 22 23 25 27 30 32 32 32 32 32
Closed Higher   7 10 12 12 17 23 23 17 16 20 19
Exceeded High   6 9 11 11 16 21 18 15 15 19 15
Scenario Percentage   86% 90% 92% 92% 94% 91% 78% 88% 94% 95% 79%
Avg Max Increase   7.25% 9.37% 9.32% 10.42% 10.84% 10.41% 9.35% 7.64% 12.71% 16.52% 10.10%
Max Increase   11.40% 20.39% 19.77% 21.39% 23.01% 29.75% 39.07% 13.59% 55.16% 77.28% 23.35%
Avg Days To Max Increase   21 19 19 18 19 16 15 18 17 14 16
Avg Max Decline   -1.24% -1.30% -1.11% -2.74% -2.56% -2.75% -2.36% -2.97% -3.77% -2.08% -1.60%
Max Decline   -3.21% -7.74% -7.27% -16.80% -14.34% -9.22% -9.97% -6.60% -16.43% -11.37% -5.71%
Avg Days to Max Decline   15 10 9 9 11 6 9 11 12 9 4
2017 Contract Condition   Yes Yes Yes         Yes      
Action   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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   12 22 23 25 27 30 32 32 32 32 32
Closed Lower   5 12 11 13 10 7 9 15 16 12 13
Penetrated Low   5 10 7 7 2 3 5 9 12 9 6
Scenario Percentage   100% 83% 64% 54% 20% 43% 56% 60% 75% 75% 46%
Avg Max Decline   19.05% 15.19% 14.06% 7.89% 8.43% 5.62% 9.84% 11.10% 10.96% 9.64% 12.07%
Max Decline   39.95% 28.37% 26.11% 15.32% 8.53% 9.93% 23.01% 17.41% 32.55% 21.88% 18.20%
Avg Days To Max Decline   14 18 13 14 17 16 17 16 16 14 18
Avg Max Increase   -1.24% -0.30% -1.62% -1.51% -2.43% 0.77% -2.88% -0.42% -2.22% -1.29% -1.72%
Max Increase   -4.35% -6.92% -4.30% -6.28% -4.60% -0.66% -7.04% -1.46% -7.84% -5.05% -3.71%
Avg Days to Max Increase   7 6 5 3 17 15 14 4 6 4 4
2017 Contract Condition         Yes Yes Yes Yes   Yes    
Action         Yes Yes Yes Yes   Not Yet    
High 147.73 156.47 153.95 167.17 170.13 162.48 158.52 160.19 153.53 147.38    
Low 134.04 147.28 136.15 154.46 156.89 154.59 142.56 142.50 132.63 129.02    
Close/Last 147.73 147.87 153.95 167.01 158.78 158.71 151.64 143.51 145.55 140.80    

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