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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March RBOB Gasoline(NYM) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   9 18 21 22 25 26 27 28 28 28 28
Closed Higher   7 13 10 12 18 13 14 14 12 17 19
Exceeded High   6 11 7 12 16 12 13 8 9 17 12
Scenario Percentage   86% 85% 70% 100% 89% 92% 93% 57% 75% 100% 63%
Avg Max Increase   9.96% 9.92% 9.47% 9.78% 10.71% 8.55% 6.80% 11.83% 13.49% 11.92% 9.55%
Max Increase   24.62% 32.02% 15.22% 26.75% 57.53% 31.03% 20.25% 18.41% 23.07% 31.11% 16.89%
Avg Days To Max Increase   20 16 19 18 15 12 12 25 18 17 15
Avg Max Decline   -1.23% -1.05% -2.04% -2.46% -0.93% -1.48% -2.18% -2.38% -3.95% -2.50% -2.60%
Max Decline   -3.37% -7.25% -5.54% -13.08% -8.58% -10.27% -10.51% -5.76% -12.03% -11.73% -13.95%
Avg Days to Max Decline   8 7 8 11 9 6 5 17 5 11 3
2013 Contract Condition   Yes       Yes Yes     Yes Yes Yes
Action   No       Yes Yes     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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   9 18 21 22 25 26 27 28 28 28 28
Closed Lower   1 5 11 10 7 13 13 14 16 11 9
Penetrated Low     4 6 7 4 9 9 11 11 5 5
Scenario Percentage   0% 80% 55% 70% 57% 69% 69% 79% 69% 45% 56%
Avg Max Decline     8.84% 7.81% 7.44% 12.41% 13.02% 14.85% 14.16% 13.47% 20.26% 12.48%
Max Decline     21.39% 9.92% 14.59% 25.77% 48.34% 55.77% 45.55% 32.34% 43.15% 29.14%
Avg Days To Max Decline     16 15 15 16 18 16 17 17 18 16
Avg Max Increase     -2.53% -0.16% -2.49% -4.85% -2.09% 0.18% -2.58% -2.40% -5.07% -1.36%
Max Increase     -6.37% -1.52% -8.82% -11.97% -11.93% -3.31% -6.63% -10.96% -17.88% -7.99%
Avg Days to Max Increase     6 4 12 20 14 4 3 14 11 2
2013 Contract Condition     Yes Yes Yes     Yes Yes      
Action     Yes Yes No     Yes Yes      
High 290.37 295.13 293.81 283.09 242.53 259.01 283.25 287.53 282.53 276.30 281.31 304.16
Low 263.78 286.17 282.36 245.39 222.37 232.27 252.03 262.10 257.86 256.22 261.43 271.17
Close/Last 285.49 286.17 282.89 245.39 238.92 251.54 280.67 273.48 262.05 274.80 276.36 303.17

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