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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November NY Harbor ULSD(NYM) as of May 10, 2021
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   30 34 36 37 40 41 42 42 42 42 42
Closed Higher   16 17 17 20 27 26 20 21 25 23 25
Exceeded High   12 16 13 18 26 20 15 20 22 21 19
Scenario Percentage   75% 94% 76% 90% 96% 77% 75% 95% 88% 91% 76%
Avg Max Increase   9.00% 7.24% 10.90% 10.10% 12.25% 10.37% 9.33% 9.94% 13.20% 10.29% 5.19%
Max Increase   17.86% 18.20% 28.01% 23.28% 51.12% 53.09% 23.81% 24.96% 76.22% 39.38% 15.65%
Avg Days To Max Increase   16 14 13 15 18 15 15 17 18 13 13
Avg Max Decline   -1.07% -1.37% -1.12% -2.05% -2.40% -2.19% -1.56% -3.43% -3.05% -2.99% -2.20%
Max Decline   -7.40% -6.74% -4.81% -12.84% -8.88% -11.99% -5.77% -16.48% -11.34% -15.12% -13.24%
Avg Days to Max Decline   8 8 4 9 7 8 7 12 9 8 3
2020 Contract Condition   Yes Yes         Yes Yes Yes    
Action   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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   30 34 36 37 40 41 42 42 42 42 42
Closed Lower   14 17 19 17 13 15 22 21 17 19 17
Penetrated Low   11 12 12 10 11 9 16 16 10 12 12
Scenario Percentage   79% 71% 63% 59% 85% 60% 73% 76% 59% 63% 71%
Avg Max Decline   12.38% 13.28% 12.41% 8.49% 8.31% 7.55% 8.15% 9.81% 11.00% 12.81% 8.51%
Max Decline   32.82% 32.60% 35.24% 38.46% 18.99% 20.84% 19.14% 27.27% 23.89% 41.36% 34.78%
Avg Days To Max Decline   19 18 16 11 16 15 17 16 17 14 16
Avg Max Increase   -1.90% -3.48% -1.82% -1.78% -4.06% -3.89% -1.38% -2.12% -3.45% -2.07% -2.35%
Max Increase   -5.71% -10.05% -6.01% -5.51% -13.16% -7.55% -6.77% -7.93% -19.87% -6.87% -6.54%
Avg Days to Max Increase   6 7 6 8 9 15 4 9 11 11 5
2020 Contract Condition       Yes Yes Yes Yes       Yes Yes
Action       Yes Yes Yes No       Yes Yes
High 188.63 190.12 199.12 203.90 174.14 160.81 131.01 117.26 130.75 132.52 133.62 126.95
Low 175.10 180.82 182.80 167.00 150.22 108.72 93.79 97.09 112.20 121.00 123.22 107.92
Close/Last 180.38 182.75 195.24 167.87 152.41 115.77 102.33 114.64 123.92 125.75 124.03 115.22

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