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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 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   15 27 28 31 34 35 37 37 37 37 37
Closed Higher   8 19 20 17 19 23 19 21 18 17 23
Exceeded High   8 18 17 13 18 20 16 18 11 14 22
Scenario Percentage   100% 95% 85% 76% 95% 87% 84% 86% 61% 82% 96%
Avg Max Increase   8.38% 10.06% 9.01% 9.04% 9.06% 10.49% 9.41% 7.95% 11.29% 15.17% 9.03%
Max Increase   12.13% 25.45% 33.12% 15.86% 27.86% 60.66% 32.50% 20.66% 20.48% 30.09% 18.16%
Avg Days To Max Increase   25 18 17 21 18 18 16 15 24 17 16
Avg Max Decline   -3.76% -2.26% -1.79% -2.72% -2.60% -2.02% -2.89% -2.59% -2.27% -3.60% -1.70%
Max Decline   -13.18% -8.60% -7.88% -9.89% -13.16% -14.00% -10.51% -10.64% -6.43% -12.74% -7.44%
Avg Days to Max Decline   8 6 8 11 12 10 7 5 17 5 5
2022 Contract Condition   Yes Yes Yes Yes Yes Yes   Yes Yes   Yes
Action   Yes Yes Yes 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   15 27 28 31 34 35 37 37 37 37 37
Closed Lower   7 7 8 14 15 12 18 16 19 20 14
Penetrated Low   3 2 5 8 11 8 11 12 16 15 7
Scenario Percentage   43% 29% 63% 57% 73% 67% 61% 75% 84% 75% 50%
Avg Max Decline   19.85% 11.61% 9.29% 8.99% 9.39% 10.77% 13.08% 14.39% 15.84% 15.20% 15.86%
Max Decline   44.12% 13.56% 21.77% 16.88% 30.96% 25.75% 49.13% 56.50% 47.23% 33.63% 21.92%
Avg Days To Max Decline   17 12 17 16 16 18 18 14 17 17 18
Avg Max Increase   -3.26% -7.75% -3.41% -0.32% -2.37% -2.32% -1.80% -1.64% -2.33% -3.56% -4.84%
Max Increase   -5.42% -10.15% -6.45% -2.10% -8.68% -12.38% -12.11% -7.45% -7.15% -12.85% -20.52%
Avg Days to Max Increase   14 7 11 4 8 12 10 7 2 10 4
2022 Contract Condition               Yes     Yes  
Action               No     Yes  
High 145.81 167.81 179.25 183.02 193.31 205.50 208.48 206.73 215.73 240.26 234.41 229.56
Low 133.41 145.62 161.00 167.10 178.30 191.10 185.29 178.76 196.66 212.12 189.23 186.46
Close/Last 142.49 164.02 169.09 179.45 190.59 201.20 207.85 200.28 213.50 229.38 192.82 222.46

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