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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 Sep 29, 2023
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   19 30 32 34 36 38 38 38 38 38 38
Closed Higher   11 14 19 23 25 19 18 24 20 21 20
Exceeded High   10 13 18 21 22 15 17 22 17 17 11
Scenario Percentage   91% 93% 95% 91% 88% 79% 94% 92% 85% 81% 55%
Avg Max Increase   11.68% 14.27% 10.34% 10.59% 9.35% 8.95% 9.53% 11.52% 10.83% 9.85% 8.18%
Max Increase   25.77% 32.24% 22.97% 27.32% 35.93% 17.44% 33.82% 68.80% 31.54% 21.87% 16.31%
Avg Days To Max Increase   19 15 18 16 15 20 18 18 19 13 14
Avg Max Decline   -1.30% -2.99% -2.52% -2.83% -2.10% -2.93% -3.44% -3.19% -3.56% -2.44% -1.45%
Max Decline   -7.37% -17.20% -14.07% -9.08% -8.98% -10.81% -15.76% -14.68% -13.09% -14.62% -4.35%
Avg Days to Max Decline   5 6 9 4 7 15 11 9 10 6 4
2023 Contract Condition               Yes Yes      
Action               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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   19 30 32 34 36 38 38 38 38 38 38
Closed Lower   8 15 13 11 11 19 20 14 18 17 18
Penetrated Low   4 10 5 6 6 12 13 11 9 14 14
Scenario Percentage   50% 67% 38% 55% 55% 63% 65% 79% 50% 82% 78%
Avg Max Decline   18.66% 11.88% 19.10% 9.13% 9.48% 9.32% 10.34% 10.46% 16.55% 13.77% 12.86%
Max Decline   26.89% 52.63% 50.59% 20.10% 22.73% 17.58% 32.26% 25.87% 50.85% 59.61% 34.02%
Avg Days To Max Decline   11 14 20 15 19 16 18 17 17 13 18
Avg Max Increase   -2.61% -1.90% -3.22% -3.42% -3.29% -1.04% -2.70% -2.60% -1.75% -3.11% -3.64%
Max Increase   -4.70% -7.38% -6.98% -14.20% -6.97% -3.88% -8.91% -15.40% -4.69% -10.07% -15.19%
Avg Days to Max Increase   7 8 11 10 9 6 7 11 8 8 3
2023 Contract Condition   Yes Yes Yes Yes Yes Yes     Yes Yes  
Action   No Yes Yes Yes Yes No     Not Yet Not Yet  
High 234.04 227.98 233.77 226.32 233.94 234.58 216.17 215.21 243.24 248.38 260.94  
Low 208.50 199.42 208.40 205.37 196.23 209.61 195.26 199.60 206.62 232.85 234.34  
Close/Last 226.21 226.13 225.11 222.66 218.93 215.06 201.24 211.52 242.45 240.33 234.96  

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