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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 08, 2020
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   15 25 26 28 30 33 35 35 35 35 35
Closed Higher   9 12 14 14 18 25 25 19 18 22 21
Exceeded High   8 11 13 13 17 23 19 16 17 20 17
Scenario Percentage   89% 92% 93% 93% 94% 92% 76% 84% 94% 91% 81%
Avg Max Increase   7.97% 9.49% 8.40% 10.21% 11.02% 10.57% 9.27% 7.62% 11.61% 16.60% 9.49%
Max Increase   13.05% 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   23 18 18 19 19 17 15 19 17 14 17
Avg Max Decline   -2.06% -1.22% -1.16% -3.09% -2.54% -2.66% -2.40% -3.49% -3.66% -2.33% -1.92%
Max Decline   -7.93% -7.74% -7.27% -16.80% -14.34% -9.22% -9.97% -11.36% -16.43% -11.37% -5.71%
Avg Days to Max Decline   13 9 8 8 10 6 8 12 11 9 5
2019 Contract Condition         Yes Yes Yes Yes   Yes Yes  
Action         Yes Yes Yes No   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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   15 25 26 28 30 33 35 35 35 35 35
Closed Lower   6 13 12 14 12 8 10 16 17 13 14
Penetrated Low   6 11 7 8 3 4 6 10 12 9 7
Scenario Percentage   100% 85% 58% 57% 25% 50% 60% 63% 71% 69% 50%
Avg Max Decline   20.73% 14.94% 14.06% 8.18% 9.03% 7.35% 9.88% 10.61% 10.96% 9.64% 11.11%
Max Decline   39.95% 28.37% 26.11% 15.32% 10.21% 12.54% 23.01% 17.41% 32.55% 21.88% 18.20%
Avg Days To Max Decline   16 19 13 14 20 13 17 15 16 14 16
Avg Max Increase   -1.07% -0.91% -1.62% -1.61% -1.93% -0.83% -3.57% -0.47% -2.22% -1.29% -1.48%
Max Increase   -4.35% -6.99% -4.30% -6.28% -4.60% -5.64% -7.04% -1.46% -7.84% -5.05% -3.71%
Avg Days to Max Increase   6 6 5 3 25 14 16 4 6 4 4
2019 Contract Condition   Yes Yes Yes         Yes     Yes
Action   Yes Yes No         Yes     Yes
High 206.18 213.00 183.84 158.65 154.29 164.91 170.65 184.78 182.13 172.70 179.62 169.08
Low 190.49 183.18 144.96 129.98 133.71 146.85 158.33 168.91 154.62 146.38 161.47 146.09
Close/Last 205.02 183.43 148.29 136.37 147.10 162.09 168.13 181.70 155.96 169.80 170.63 152.97

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