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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, 2015
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   10 19 22 23 26 27 28 29 29 29 29
Closed Higher   8 13 11 13 19 14 14 14 13 18 19
Exceeded High   7 11 8 13 17 12 13 8 10 18 12
Scenario Percentage   88% 85% 73% 100% 89% 86% 93% 57% 77% 100% 63%
Avg Max Increase   8.59% 9.92% 9.48% 9.99% 10.35% 8.55% 6.80% 11.83% 12.70% 11.40% 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   17 16 19 19 16 12 12 25 19 17 15
Avg Max Decline   -1.04% -1.05% -1.83% -2.22% -1.09% -1.48% -2.18% -2.38% -3.73% -2.75% -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   7 7 10 10 9 6 5 17 6 12 3
2014 Contract Condition   Yes   Yes Yes Yes Yes     Yes Yes  
Action   Yes   Yes Yes Yes No     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   10 19 22 23 26 27 28 29 29 29 29
Closed Lower   1 6 11 10 7 13 14 15 16 11 10
Penetrated Low     4 6 7 4 9 10 12 11 5 6
Scenario Percentage   0% 67% 55% 70% 57% 69% 71% 80% 69% 45% 60%
Avg Max Decline     8.84% 7.81% 7.44% 12.41% 13.02% 13.75% 13.29% 13.47% 20.26% 10.64%
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 15 16 17 18 14
Avg Max Increase     -2.53% -0.16% -2.49% -4.85% -2.09% -0.20% -2.36% -2.40% -5.07% -1.21%
Max Increase     -6.37% -1.52% -8.82% -11.97% -11.93% -3.64% -6.63% -10.96% -17.88% -7.99%
Avg Days to Max Increase     6 4 12 20 14 5 3 14 11 2
2014 Contract Condition     Yes         Yes Yes     Yes
Action     No         Yes Yes     Yes
High 276.02 270.88 271.96 265.40 268.73 278.29 287.36 283.45 272.00 275.04 284.35 280.43
Low 259.13 257.10 244.48 247.00 253.13 257.20 264.72 260.56 256.07 252.29 264.84 260.33
Close/Last 259.26 270.88 253.92 253.95 255.42 274.81 280.90 262.44 262.08 269.37 279.19 263.14

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