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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December 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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   35 37 38 40 42 42 42 42 42 42 42
Closed Higher   17 18 19 26 25 20 22 26 23 25 15
Exceeded High   16 14 17 25 18 15 20 22 21 21 10
Scenario Percentage   94% 78% 89% 96% 72% 75% 91% 85% 91% 84% 67%
Avg Max Increase   7.30% 10.37% 10.04% 10.51% 8.23% 9.41% 9.71% 12.66% 10.25% 7.83% 6.83%
Max Increase   21.40% 28.35% 23.37% 42.04% 28.68% 24.91% 24.98% 74.87% 38.50% 21.61% 18.25%
Avg Days To Max Increase   14 14 15 17 17 15 17 17 14 13 18
Avg Max Decline   -1.42% -1.45% -1.92% -2.10% -2.28% -1.59% -3.28% -2.66% -2.87% -2.89% -1.66%
Max Decline   -6.64% -5.08% -12.74% -8.02% -11.13% -5.77% -15.93% -11.22% -14.50% -13.85% -2.99%
Avg Days to Max Decline   8 6 8 5 8 4 13 8 7 5 3
2020 Contract Condition   Yes         Yes Yes Yes      
Action   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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   35 37 38 40 42 42 42 42 42 42 42
Closed Lower   18 19 19 14 17 22 20 16 19 17 27
Penetrated Low   13 12 11 10 9 16 15 9 13 15 20
Scenario Percentage   72% 63% 58% 71% 53% 73% 75% 56% 68% 88% 74%
Avg Max Decline   11.03% 12.35% 8.63% 8.25% 7.71% 7.97% 9.16% 9.52% 12.37% 11.50% 10.03%
Max Decline   22.55% 34.62% 36.98% 17.63% 20.65% 18.72% 27.10% 24.22% 41.23% 43.86% 21.31%
Avg Days To Max Decline   18 16 11 13 18 17 18 17 17 13 17
Avg Max Increase   -4.04% -1.77% -2.10% -4.23% -3.87% -1.04% -2.03% -3.45% -2.01% -4.01% -2.30%
Max Increase   -9.89% -6.11% -10.40% -14.15% -6.95% -6.42% -7.66% -19.25% -5.86% -20.44% -6.10%
Avg Days to Max Increase   9 5 8 5 18 4 9 15 11 8 4
2020 Contract Condition     Yes Yes Yes Yes       Yes Yes Yes
Action     Yes Yes Yes No       Yes Yes Yes
High 190.80 199.74 202.26 174.94 161.78 133.89 118.82 132.08 133.68 135.33 129.10 121.44
Low 180.37 182.32 167.49 151.13 110.08 96.61 99.24 113.75 122.85 125.41 110.03 105.25
Close/Last 182.87 194.95 168.36 153.29 117.29 104.43 116.41 125.26 127.54 126.32 116.55 108.59

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