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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July NY Harbor ULSD(NYM) as of Dec 30, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   28 31 33 33 35 36 37 37 37 37 37
Closed Higher   21 17 16 14 17 14 15 18 26 27 18
Exceeded High   18 14 12 11 13 12 12 17 25 22 11
Scenario Percentage   86% 82% 75% 79% 76% 86% 80% 94% 96% 81% 61%
Avg Max Increase   8.80% 6.66% 8.31% 9.26% 9.46% 10.05% 10.51% 10.87% 11.57% 9.66% 8.76%
Max Increase   51.79% 26.41% 26.16% 20.60% 19.67% 21.36% 27.58% 25.97% 41.58% 29.68% 17.24%
Avg Days To Max Increase   15 14 16 21 16 17 12 14 16 15 17
Avg Max Decline   -0.70% -0.84% -1.83% -2.22% -1.84% -1.98% -1.71% -2.07% -2.45% -3.07% -1.62%
Max Decline   -7.21% -6.28% -8.40% -4.74% -8.27% -7.42% -6.29% -13.94% -9.33% -16.05% -7.53%
Avg Days to Max Decline   8 9 5 11 7 13 5 7 7 9 6
2016 Contract Condition     Yes             Yes Yes Yes
Action     No             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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   28 31 33 33 35 36 37 37 37 37 37
Closed Lower   7 14 17 19 18 21 22 19 11 10 19
Penetrated Low   6 9 14 17 15 17 13 13 9 7 15
Scenario Percentage   86% 64% 82% 89% 83% 81% 59% 68% 82% 70% 79%
Avg Max Decline   10.01% 12.21% 10.40% 13.91% 16.05% 14.13% 12.08% 6.68% 8.12% 8.40% 6.07%
Max Decline   22.93% 37.63% 40.47% 38.60% 35.38% 38.04% 35.18% 20.99% 15.36% 21.22% 12.36%
Avg Days To Max Decline   22 19 15 19 19 19 15 13 14 15 14
Avg Max Increase   -2.16% -2.08% -1.67% -2.03% -1.61% -3.38% -2.30% -2.40% -2.58% -3.62% -1.66%
Max Increase   -8.51% -11.01% -6.51% -5.82% -7.39% -11.13% -6.56% -11.47% -5.99% -8.06% -8.98%
Avg Days to Max Increase   16 16 7 6 9 8 7 11 6 15 4
2016 Contract Condition   Yes   Yes Yes Yes Yes Yes Yes      
Action   Yes   Yes Yes Yes Yes No No      
High 203.46 194.10 177.41 172.40 171.97 165.20 149.47 128.17 118.25 130.77 142.35 153.03
Low 192.00 169.40 147.54 158.85 153.23 145.56 122.56 94.06 103.12 114.53 110.75 129.12
Close/Last 197.21 170.03 177.41 161.46 161.00 145.56 124.17 115.82 115.68 122.15 139.43 149.71

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