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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November RBOB Gasoline(NYM) as of May 10, 2021
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   17 26 28 30 34 35 35 36 36 36 36
Closed Higher   10 14 13 18 24 26 17 17 23 22 18
Exceeded High   9 12 12 18 22 22 14 16 21 20 13
Scenario Percentage   90% 86% 92% 100% 92% 85% 82% 94% 91% 91% 72%
Avg Max Increase   10.72% 8.16% 10.60% 9.79% 10.17% 10.60% 8.33% 10.74% 13.00% 10.60% 7.40%
Max Increase   20.71% 17.79% 21.12% 21.93% 28.31% 53.40% 18.65% 40.62% 71.91% 29.31% 15.24%
Avg Days To Max Increase   16 17 19 18 16 16 20 17 18 17 17
Avg Max Decline   -0.74% -1.07% -3.35% -2.32% -2.71% -2.32% -3.01% -3.21% -2.78% -4.32% -2.10%
Max Decline   -7.75% -7.21% -16.67% -14.14% -9.73% -9.50% -11.14% -16.10% -14.39% -14.50% -5.70%
Avg Days to Max Decline   9 8 9 9 5 7 11 10 8 13 2
2020 Contract Condition   Yes Yes       Yes Yes Yes Yes Yes  
Action   Yes Yes       Yes 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   17 26 28 30 34 35 35 36 36 36 36
Closed Lower   7 12 15 12 10 9 18 19 13 14 18
Penetrated Low   6 6 10 4 6 5 12 13 8 6 14
Scenario Percentage   86% 50% 67% 33% 60% 56% 67% 68% 62% 43% 78%
Avg Max Decline   19.92% 15.69% 11.94% 19.50% 9.02% 10.38% 10.00% 9.89% 11.58% 19.38% 10.27%
Max Decline   28.08% 26.63% 54.80% 51.98% 19.69% 22.90% 17.26% 32.27% 24.70% 49.55% 42.21%
Avg Days To Max Decline   21 14 13 17 15 21 16 17 17 18 17
Avg Max Increase   -1.67% -0.61% -1.81% -2.77% -3.38% -3.88% -0.76% -2.59% -3.64% -1.58% -3.15%
Max Increase   -7.10% -4.68% -7.32% -6.81% -14.05% -6.99% -2.95% -8.77% -19.85% -3.97% -6.24%
Avg Days to Max Increase   3 6 6 9 10 12 6 9 12 6 5
2020 Contract Condition       Yes Yes Yes           Yes
Action       Yes Yes Yes           Yes
High 152.21 157.70 165.23 169.50 152.08 136.83 87.36 100.81 118.82 117.30 124.62 122.10
Low 139.32 148.96 150.05 141.05 126.89 64.05 61.52 73.11 97.81 105.00 107.60 106.60
Close/Last 146.62 150.39 160.85 141.71 128.10 76.60 77.46 100.14 108.67 108.95 118.80 118.16

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