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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for February 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   12 24 25 28 31 32 34 34 34 34 34
Closed Higher   6 17 18 15 16 20 18 19 16 15 20
Exceeded High   6 16 16 11 15 18 16 16 10 12 19
Scenario Percentage   100% 94% 89% 73% 94% 90% 89% 84% 63% 80% 95%
Avg Max Increase   7.22% 9.90% 8.67% 8.49% 9.40% 10.79% 9.41% 7.37% 11.16% 14.12% 8.45%
Max Increase   11.65% 25.45% 33.12% 15.86% 27.86% 60.66% 32.50% 20.66% 20.48% 26.51% 18.16%
Avg Days To Max Increase   24 17 17 20 17 17 16 14 24 17 15
Avg Max Decline   -4.31% -2.55% -1.86% -2.79% -2.37% -1.51% -2.89% -2.60% -2.47% -3.79% -1.56%
Max Decline   -13.18% -8.60% -7.88% -9.89% -13.16% -8.84% -10.51% -10.64% -6.43% -12.74% -7.44%
Avg Days to Max Decline   9 6 8 8 11 9 7 6 16 6 5
2019 Contract Condition     Yes Yes Yes Yes   Yes Yes      
Action     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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   12 24 25 28 31 32 34 34 34 34 34
Closed Lower   6 6 7 13 15 12 16 15 18 19 14
Penetrated Low   2 1 5 7 11 8 11 11 15 14 7
Scenario Percentage   33% 17% 71% 54% 73% 67% 69% 73% 83% 74% 50%
Avg Max Decline   7.72% 9.66% 9.29% 9.37% 9.39% 10.77% 13.08% 14.17% 16.52% 16.05% 15.86%
Max Decline   9.58% 9.66% 21.77% 16.88% 30.96% 25.75% 49.13% 56.50% 47.23% 33.63% 21.92%
Avg Days To Max Decline   15 4 17 17 16 18 18 15 18 18 18
Avg Max Increase   -2.17% -5.35% -3.41% -0.24% -2.37% -2.32% -1.80% -1.56% -2.31% -3.47% -4.84%
Max Increase   -5.10% -5.35% -6.45% -2.10% -8.68% -12.38% -12.11% -7.45% -7.15% -12.85% -20.52%
Avg Days to Max Increase   19 12 11 4 8 12 10 7 2 10 4
2019 Contract Condition   Yes         Yes     Yes Yes Yes
Action   No         No     Yes Yes Not Yet
High 178.91 177.37 179.54 189.34 203.46 197.75 199.30 198.58 209.84 215.54 176.78 151.77
Low 170.05 160.57 161.52 170.36 182.42 182.44 182.21 182.66 190.73 175.63 135.73 122.93
Close/Last 176.11 166.46 176.95 187.48 195.58 197.23 191.80 196.73 208.03 176.27 140.52 130.21

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