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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December RBOB Gasoline(NYM) as of Aug 31, 2017
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   13 24 26 28 30 32 32 32 32 32 32
Closed Higher   6 10 16 19 21 14 14 20 17 17 16
Exceeded High   5 9 15 17 19 11 13 18 15 14 8
Scenario Percentage   83% 90% 94% 89% 90% 79% 93% 90% 88% 82% 50%
Avg Max Increase   10.77% 11.94% 9.22% 9.51% 8.55% 8.25% 10.57% 12.33% 10.73% 9.50% 8.12%
Max Increase   17.43% 22.03% 21.85% 27.32% 35.93% 15.46% 33.82% 68.80% 31.54% 21.87% 16.31%
Avg Days To Max Increase   22 14 18 14 15 19 18 17 19 14 14
Avg Max Decline   -1.42% -2.99% -2.75% -3.11% -2.09% -2.42% -3.21% -1.87% -3.63% -2.66% -1.85%
Max Decline   -7.37% -17.20% -14.07% -9.08% -8.98% -5.66% -15.76% -9.35% -13.09% -14.62% -4.35%
Avg Days to Max Decline   8 7 11 5 7 13 10 8 10 6 2
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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   13 24 26 28 30 32 32 32 32 32 32
Closed Lower   7 13 10 9 9 18 18 12 15 15 16
Penetrated Low   4 8 3 4 5 11 12 10 8 13 12
Scenario Percentage   57% 62% 30% 44% 56% 61% 67% 83% 53% 87% 75%
Avg Max Decline   18.66% 6.98% 11.62% 5.68% 9.42% 9.60% 9.84% 9.68% 17.72% 13.54% 12.72%
Max Decline   26.89% 14.31% 18.56% 9.10% 22.73% 17.58% 32.26% 25.87% 50.85% 59.61% 34.02%
Avg Days To Max Decline   11 13 22 16 19 17 17 17 16 14 19
Avg Max Increase   -2.61% -1.18% -3.00% -0.13% -2.55% -1.04% -2.57% -2.89% -1.38% -3.09% -3.98%
Max Increase   -4.70% -5.94% -4.95% -2.10% -6.92% -3.88% -8.91% -15.40% -3.78% -10.07% -15.19%
Avg Days to Max Increase   7 8 17 12 6 6 8 12 7 8 3
2017 Contract Condition     Yes Yes Yes Yes   Yes        
Action     Yes Yes Yes Yes   No        
High 151.03 162.07 165.08 156.76 152.96 155.05 149.74 143.38 150.33 153.78    
Low 132.62 149.36 151.87 148.66 137.47 138.74 129.04 126.29 132.71 140.44    
Close/Last 149.89 161.73 153.43 152.81 146.57 139.98 141.59 137.49 150.10 153.66    

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Newsflash

In 2005 Wheat was trading at a subdued $3.00/bushel. Three years later, the CBOT's soft red had more than quadrupled to $13.00 --- while hard red spring traded in Minneapolis soared to an astonishing $24.00! Now as winter wheat prepares to emerge and spring wheat will soon be planted, all three classes of wheat trade mostly between $4.50 and $5.00.

Look back to 1970: http://www.mrci.com/pdf/w.pdf

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