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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 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   33 36 38 38 40 41 42 42 42 42 42
Closed Higher   24 21 20 15 21 18 18 21 27 30 22
Exceeded High   20 17 15 12 17 16 14 19 26 25 13
Scenario Percentage   83% 81% 75% 80% 81% 89% 78% 90% 96% 83% 59%
Avg Max Increase   8.56% 7.39% 8.06% 9.15% 10.22% 9.93% 11.36% 10.45% 11.66% 9.45% 9.50%
Max Increase   51.79% 26.41% 26.16% 20.60% 19.67% 26.27% 27.58% 25.97% 41.58% 29.68% 19.86%
Avg Days To Max Increase   15 15 16 22 16 17 13 16 16 15 18
Avg Max Decline   -0.87% -1.11% -1.67% -2.17% -1.53% -1.94% -1.55% -2.31% -2.49% -2.94% -1.58%
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 10 6 11 4 8 7 8 5
2021 Contract Condition   Yes Yes     Yes Yes Yes Yes   Yes Yes
Action   Yes No     Yes 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   33 36 38 38 40 41 42 42 42 42 42
Closed Lower   9 15 18 23 19 22 24 21 15 12 20
Penetrated Low   7 9 15 20 16 17 15 14 12 8 16
Scenario Percentage   78% 60% 83% 87% 84% 77% 63% 67% 80% 67% 80%
Avg Max Decline   9.06% 12.21% 10.44% 13.72% 15.71% 14.13% 13.80% 9.75% 10.19% 8.68% 6.04%
Max Decline   22.93% 37.63% 40.47% 38.60% 35.38% 38.04% 40.09% 49.67% 28.57% 21.22% 12.36%
Avg Days To Max Decline   19 19 14 18 19 19 16 14 16 16 13
Avg Max Increase   -1.62% -2.08% -1.77% -1.97% -1.89% -3.38% -2.46% -2.68% -4.26% -4.12% -1.61%
Max Increase   -8.51% -11.01% -6.51% -5.82% -7.39% -11.13% -6.56% -11.47% -14.10% -8.06% -8.98%
Avg Days to Max Increase   14 16 7 5 9 8 7 11 9 17 3
2021 Contract Condition       Yes Yes         Yes    
Action       Yes Yes         No    
High 135.10 137.19 141.78 137.83 128.80 142.73 152.23 162.73 188.90 197.57 197.72 207.77
Low 123.51 130.52 134.19 120.81 113.13 111.00 137.68 146.75 158.12 173.67 175.45 191.00
Close/Last 130.73 134.30 135.63 124.75 115.69 140.74 149.60 159.31 182.50 177.61 192.44 203.83

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