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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 Oct 20, 2019
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   15 23 25 26 29 33 33 34 34 34 34
Closed Higher   7 14 18 18 15 15 22 18 19 17 14
Exceeded High   6 13 17 16 12 14 20 16 18 11 10
Scenario Percentage   86% 93% 94% 89% 80% 93% 91% 89% 95% 65% 71%
Avg Max Increase   7.91% 9.51% 9.84% 8.95% 8.01% 9.02% 11.50% 9.86% 7.28% 10.20% 9.33%
Max Increase   13.56% 21.47% 26.16% 34.34% 15.81% 30.83% 64.52% 32.03% 20.91% 20.41% 14.97%
Avg Days To Max Increase   19 18 16 16 22 18 19 16 10 17 24
Avg Max Decline   -4.98% -1.98% -2.61% -2.25% -2.97% -2.83% -1.76% -3.15% -2.69% -2.11% -2.95%
Max Decline   -16.28% -13.63% -8.85% -8.17% -10.30% -14.30% -8.98% -12.01% -13.00% -6.97% -6.96%
Avg Days to Max Decline   8 12 6 7 7 12 10 7 6 11 6
2019 Contract Condition   Yes   Yes Yes Yes Yes   Yes Yes    
Action   Yes   Yes Yes No 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   15 23 25 26 29 33 33 34 34 34 34
Closed Lower   8 9 6 8 14 18 11 16 15 17 20
Penetrated Low   5 3 3 5 8 11 8 10 11 14 15
Scenario Percentage   63% 33% 50% 63% 57% 61% 73% 63% 73% 82% 75%
Avg Max Decline   6.92% 8.04% 5.70% 9.64% 9.85% 9.93% 11.31% 14.73% 14.77% 17.66% 13.09%
Max Decline   13.72% 9.74% 10.83% 22.15% 17.16% 31.88% 25.96% 49.96% 58.32% 48.71% 35.10%
Avg Days To Max Decline   10 16 8 18 19 17 19 18 15 18 19
Avg Max Increase   -1.27% -1.49% -2.23% -3.65% -0.67% -2.63% -2.63% -0.97% -1.89% -2.75% -2.44%
Max Increase   -5.27% -5.12% -5.65% -6.75% -2.27% -8.83% -12.80% -3.73% -8.43% -8.48% -12.20%
Avg Days to Max Increase   4 13 14 13 6 8 11 10 7 2 4
2019 Contract Condition     Yes         Yes     Yes Yes
Action     No         No     Yes Yes
High 171.19 178.74 177.27 179.60 189.51 203.55 197.44 199.00 198.01 209.29 214.67 175.77
Low 160.65 169.27 159.17 161.24 170.33 182.31 182.00 181.68 182.06 189.92 174.51 135.33
Close/Last 170.61 175.96 166.31 177.01 187.68 195.44 196.87 191.41 196.05 207.41 175.23 140.19

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