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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, 2015
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   11 19 21 22 25 29 29 30 30 30 30
Closed Higher   6 13 16 15 12 14 21 15 16 15 12
Exceeded High   5 12 15 13 10 13 19 13 15 9 9
Scenario Percentage   83% 92% 94% 87% 83% 93% 90% 87% 94% 60% 75%
Avg Max Increase   9.08% 9.99% 8.99% 9.54% 8.60% 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 18 22 18 18 16 11 20 24
Avg Max Decline   -4.07% -1.01% -2.28% -1.84% -2.32% -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 12 7 8 7 13 10 8 5 13 6
2014 Contract Condition   Yes   Yes     Yes Yes Yes     Yes
Action   Yes   Yes     Yes Yes No     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   11 19 21 22 25 29 29 30 30 30 30
Closed Lower   5 6 4 7 13 15 8 15 14 15 18
Penetrated Low   3 2 2 4 7 9 6 10 10 12 13
Scenario Percentage   60% 33% 50% 57% 54% 60% 75% 67% 71% 80% 72%
Avg Max Decline   3.53% 7.19% 3.13% 9.68% 8.81% 7.04% 11.20% 14.73% 15.19% 17.34% 13.43%
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   9 17 10 17 18 18 21 18 15 18 18
Avg Max Increase   -2.66% -2.64% -0.52% -2.88% -0.45% -3.01% -3.43% -0.97% -1.24% -2.47% -1.72%
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 15 10 5 10 14 10 5 2 4
2014 Contract Condition     Yes   Yes Yes       Yes Yes  
Action     Yes   No No       Yes Yes  
High 255.01 267.68 276.11 270.66 272.30 264.00 267.68 279.09 287.26 283.32 270.03 274.50
Low 245.17 253.77 258.99 256.73 242.98 245.67 250.15 254.90 262.98 258.07 253.34 249.22
Close/Last 253.54 267.68 259.03 270.66 253.00 252.15 253.84 274.44 280.88 260.60 259.13 266.28

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