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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 Sep 16, 2022
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   18 26 28 29 32 36 36 37 37 37 37
Closed Higher   9 16 20 20 17 18 25 19 21 19 16
Exceeded High   8 15 19 17 14 17 23 16 20 12 12
Scenario Percentage   89% 94% 95% 85% 82% 94% 92% 84% 95% 63% 75%
Avg Max Increase   11.10% 9.87% 10.02% 9.29% 8.72% 8.78% 10.89% 9.86% 7.86% 10.38% 9.91%
Max Increase   26.22% 21.47% 26.16% 34.34% 16.16% 30.83% 64.52% 32.03% 20.91% 20.41% 14.97%
Avg Days To Max Increase   18 19 17 17 22 18 19 16 11 18 25
Avg Max Decline   -3.48% -2.03% -2.39% -2.16% -2.88% -3.08% -2.80% -3.15% -2.67% -2.02% -2.90%
Max Decline   -16.28% -13.63% -8.85% -8.17% -10.30% -14.30% -14.42% -12.01% -13.00% -6.97% -6.96%
Avg Days to Max Decline   7 11 6 7 10 13 10 7 6 12 5
2022 Contract Condition   Yes Yes Yes Yes Yes Yes Yes   Yes Yes  
Action   Yes Yes Yes Yes Yes Yes Yes   Yes No  
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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   18 26 28 29 32 36 36 37 37 37 37
Closed Lower   9 10 7 9 15 18 11 18 16 18 21
Penetrated Low   6 4 4 5 9 11 8 10 12 15 16
Scenario Percentage   67% 40% 57% 56% 60% 61% 73% 56% 75% 83% 76%
Avg Max Decline   13.95% 17.67% 8.23% 9.64% 9.43% 9.93% 11.31% 14.73% 14.95% 16.87% 12.47%
Max Decline   49.07% 46.58% 15.83% 22.15% 17.16% 31.88% 25.96% 49.96% 58.32% 48.71% 35.10%
Avg Days To Max Decline   12 17 12 18 18 17 19 18 14 17 18
Avg Max Increase   -2.24% -2.77% -4.75% -3.65% -0.72% -2.63% -2.63% -0.97% -1.96% -2.75% -2.60%
Max Increase   -7.12% -6.63% -12.32% -6.75% -2.27% -8.83% -12.80% -3.73% -8.43% -8.48% -12.20%
Avg Days to Max Increase   6 11 11 13 5 8 11 10 7 2 4
2022 Contract Condition                 Yes     Yes
Action                 No     Yes
High 134.85 145.82 167.75 179.40 183.31 193.11 205.70 209.06 208.11 216.24 242.18 238.25
Low 124.16 132.42 145.23 160.00 166.10 178.10 190.90 184.91 178.30 196.52 212.33 190.45
Close/Last 134.42 142.13 163.85 168.70 179.36 190.36 201.20 208.34 200.51 213.83 231.82 194.01

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