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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 Dec 27, 2023
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   20 29 31 33 37 38 38 39 39 39 39
Closed Higher   12 17 16 20 26 28 19 19 25 22 19
Exceeded High   11 15 15 20 24 24 16 18 23 20 14
Scenario Percentage   92% 88% 94% 100% 92% 86% 84% 95% 92% 91% 74%
Avg Max Increase   10.68% 10.22% 12.73% 10.53% 10.95% 11.24% 8.55% 10.89% 12.37% 10.91% 8.26%
Max Increase   20.71% 25.98% 32.19% 22.65% 28.31% 53.40% 18.65% 40.62% 71.91% 29.31% 15.94%
Avg Days To Max Increase   18 18 17 18 17 16 20 18 19 19 18
Avg Max Decline   -1.76% -1.48% -3.29% -2.14% -2.58% -2.28% -2.86% -3.44% -3.37% -4.32% -2.00%
Max Decline   -11.55% -7.50% -16.67% -14.14% -9.73% -9.50% -11.14% -16.10% -14.72% -14.50% -5.70%
Avg Days to Max Decline   8 7 8 8 5 6 12 11 8 13 2
2023 Contract Condition   Yes Yes Yes         Yes Yes    
Action   Yes Yes Yes         Yes 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   20 29 31 33 37 38 38 39 39 39 39
Closed Lower   8 12 15 13 11 10 19 20 14 17 20
Penetrated Low   6 6 10 5 7 6 12 14 9 8 15
Scenario Percentage   75% 50% 67% 38% 64% 60% 63% 70% 64% 47% 75%
Avg Max Decline   19.92% 15.69% 11.94% 17.80% 9.35% 10.23% 10.00% 10.55% 12.34% 17.01% 10.33%
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 14 18 16 18 16 18 18
Avg Max Increase   -1.67% -0.61% -1.81% -3.26% -3.91% -3.24% -0.76% -2.72% -3.22% -2.74% -3.04%
Max Increase   -7.10% -4.68% -7.32% -6.81% -14.05% -6.99% -2.95% -8.77% -19.85% -8.94% -6.24%
Avg Days to Max Increase   3 6 6 8 10 10 6 8 10 7 5
2023 Contract Condition         Yes Yes Yes Yes     Yes Yes
Action         Yes Yes Yes No     Yes Yes
High 230.61 236.57 230.70 236.90 229.54 237.84 238.62 220.55 219.95 251.87 258.40 270.21
Low 212.50 212.00 201.89 211.51 209.90 201.09 213.58 197.46 203.39 210.29 239.72 239.25
Close/Last 222.87 228.26 228.65 228.89 226.01 222.75 218.23 205.36 215.62 250.89 248.03 239.95

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