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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January RBOB Gasoline(NYM) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   10 18 20 21 24 28 28 29 29 29 29
Closed Higher   6 12 16 14 11 13 21 15 16 15 12
Exceeded High   5 11 15 12 9 13 19 13 15 9 9
Scenario Percentage   83% 92% 94% 86% 82% 100% 90% 87% 94% 60% 75%
Avg Max Increase   9.08% 10.70% 8.99% 9.69% 8.88% 9.64% 11.60% 9.18% 7.00% 11.15% 8.71%
Max Increase   13.56% 21.47% 26.16% 34.34% 15.81% 30.83% 64.52% 32.03% 20.91% 20.41% 14.22%
Avg Days To Max Increase   17 17 15 17 22 18 18 16 11 20 24
Avg Max Decline   -4.07% -0.83% -2.28% -1.90% -2.43% -2.83% -1.53% -3.12% -2.89% -2.31% -3.21%
Max Decline   -16.28% -4.88% -8.85% -8.17% -5.72% -14.30% -8.98% -12.01% -13.00% -6.97% -6.96%
Avg Days to Max Decline   8 10 7 8 7 13 10 8 5 13 6
2013 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   10 18 20 21 24 28 28 29 29 29 29
Closed Lower   4 6 3 7 13 15 7 14 13 14 17
Penetrated Low   2 2 1 4 7 9 5 9 9 11 12
Scenario Percentage   50% 33% 33% 57% 54% 60% 71% 64% 69% 79% 71%
Avg Max Decline   5.17% 7.19% 3.54% 9.68% 8.81% 7.04% 11.58% 14.25% 14.26% 15.90% 12.75%
Max Decline   6.92% 8.18% 3.54% 22.15% 11.97% 15.29% 25.96% 49.96% 58.32% 48.71% 35.10%
Avg Days To Max Decline   12 17 19 17 18 18 20 18 14 17 17
Avg Max Increase   -4.03% -2.64% -1.29% -2.88% -0.45% -3.01% -4.04% -1.06% -1.16% -2.65% -1.56%
Max Increase   -5.27% -5.12% -1.29% -6.58% -1.49% -8.83% -12.80% -3.73% -4.24% -7.98% -12.20%
Avg Days to Max Increase   2 17 29 10 5 10 16 11 5 2 4
2013 Contract Condition       Yes Yes Yes Yes     Yes Yes  
Action       Yes Yes Yes No     Yes Yes  
High 253.67 263.57 289.71 293.76 292.30 281.63 242.52 258.03 282.88 287.17 282.41 275.05
Low 236.92 255.30 262.90 284.10 277.35 241.96 218.50 230.51 250.29 261.43 256.00 253.24
Close/Last 247.34 262.25 284.44 284.10 280.68 242.59 235.70 249.48 280.36 273.22 260.22 273.03

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