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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May NY Harbor ULSD(NYM) as of Jan 21, 2022
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   33 37 38 41 41 42 42 42 42 42 42
Closed Higher   16 21 26 24 22 18 22 20 18 21 26
Exceeded High   13 19 21 20 13 14 18 18 15 19 22
Scenario Percentage   81% 90% 81% 83% 59% 78% 82% 90% 83% 90% 85%
Avg Max Increase   9.21% 8.83% 9.24% 7.76% 9.15% 9.93% 10.99% 10.47% 12.97% 11.46% 9.74%
Max Increase   25.87% 23.36% 56.36% 29.50% 19.39% 21.64% 25.04% 30.08% 27.08% 29.40% 19.16%
Avg Days To Max Increase   17 17 17 16 16 21 16 17 13 13 19
Avg Max Decline   -1.02% -2.57% -1.66% -1.70% -1.55% -2.18% -1.75% -2.37% -1.93% -2.91% -2.29%
Max Decline   -4.80% -13.85% -10.33% -6.87% -7.85% -5.83% -8.29% -7.95% -7.14% -14.74% -10.01%
Avg Days to Max Decline   5 9 9 8 5 9 5 11 5 7 2
2021 Contract Condition   Yes Yes Yes Yes     Yes Yes Yes Yes  
Action   Yes Yes Yes No     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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   33 37 38 41 41 42 42 42 42 42 42
Closed Lower   17 16 12 17 19 24 20 22 24 21 16
Penetrated Low   11 11 8 10 15 21 18 16 16 15 10
Scenario Percentage   65% 69% 67% 59% 79% 88% 90% 73% 67% 71% 63%
Avg Max Decline   7.03% 6.05% 8.59% 12.04% 10.39% 13.79% 13.78% 15.27% 14.93% 10.95% 9.49%
Max Decline   16.98% 25.67% 23.48% 38.52% 41.64% 40.53% 37.04% 39.03% 42.35% 60.61% 42.09%
Avg Days To Max Decline   16 14 17 15 14 18 19 20 16 13 12
Avg Max Increase   -0.75% -1.76% -1.89% -2.17% -2.10% -2.14% -2.76% -3.69% -3.09% -2.08% -3.63%
Max Increase   -2.79% -6.62% -9.00% -12.53% -7.04% -6.54% -9.43% -12.34% -10.85% -12.26% -13.67%
Avg Days to Max Increase   3 7 12 12 8 7 10 10 7 7 2
2021 Contract Condition           Yes Yes         Yes
Action           Yes Yes         Not Yet
High 133.49 123.23 134.39 136.04 139.75 135.22 125.90 141.55 151.60 162.74 190.27 198.34
Low 106.76 106.84 120.45 128.13 131.70 118.00 110.31 108.66 136.91 145.51 157.89 173.15
Close/Last 111.62 122.72 128.86 132.10 133.04 122.04 113.10 139.41 148.60 159.17 183.49 176.98

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