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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 May 16, 2024
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   35 38 40 40 42 43 44 44 44 44 44
Closed Higher   25 21 21 17 22 19 19 22 28 31 23
Exceeded High   21 17 16 13 17 17 15 20 27 26 14
Scenario Percentage   84% 81% 76% 76% 77% 89% 79% 91% 96% 84% 61%
Avg Max Increase   8.42% 7.39% 8.15% 8.94% 10.22% 10.90% 13.84% 11.91% 12.48% 9.92% 9.85%
Max Increase   51.79% 26.41% 26.16% 20.60% 19.67% 26.45% 48.59% 39.70% 41.58% 27.23% 19.86%
Avg Days To Max Increase   15 15 16 20 16 17 12 16 17 15 17
Avg Max Decline   -1.43% -1.11% -1.60% -1.98% -1.53% -1.85% -1.54% -2.17% -2.53% -3.11% -1.41%
Max Decline   -12.60% -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   9 9 5 9 6 10 4 8 7 9 5
2024 Contract Condition   Yes Yes Yes       Yes   Yes    
Action   Yes Yes No       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   35 38 40 40 42 43 44 44 44 44 44
Closed Lower   10 17 19 23 20 23 25 22 16 13 21
Penetrated Low   8 10 15 20 17 18 16 15 13 9 16
Scenario Percentage   80% 59% 79% 87% 85% 78% 64% 68% 81% 69% 76%
Avg Max Decline   9.45% 12.15% 10.44% 13.72% 14.94% 14.03% 14.01% 10.00% 10.61% 8.77% 5.92%
Max Decline   22.93% 37.63% 40.47% 38.60% 35.38% 38.04% 40.09% 49.67% 28.57% 21.22% 11.07%
Avg Days To Max Decline   20 20 14 18 18 18 16 15 15 14 13
Avg Max Increase   -2.36% -1.98% -1.77% -1.97% -2.02% -3.41% -2.33% -2.73% -4.31% -3.75% -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   15 15 7 5 9 8 7 11 9 15 3
2024 Contract Condition         Yes Yes Yes   Yes   Yes Yes
Action         Yes Yes No   No   Yes  
High 235.29 263.92 272.90 285.94 278.59 272.00 258.12 260.54 266.92 271.52 277.34 254.15
Low 221.51 228.36 260.64 268.69 253.12 249.00 235.25 236.65 246.07 250.56 250.19 239.30
Close/Last 233.22 263.00 268.11 274.57 264.04 256.93 239.35 256.82 254.09 261.85 253.86 245.96

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