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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 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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   15 24 27 28 31 32 33 34 34 34 34
Closed Higher   10 17 15 15 20 17 17 16 15 20 21
Exceeded High   9 15 11 14 18 15 16 9 12 20 13
Scenario Percentage   90% 88% 73% 93% 90% 88% 94% 56% 80% 100% 62%
Avg Max Increase   10.07% 8.95% 8.34% 9.35% 10.28% 9.32% 6.96% 11.18% 12.61% 10.72% 10.27%
Max Increase   24.62% 32.02% 15.22% 26.75% 57.53% 31.03% 20.25% 18.41% 23.07% 31.11% 18.82%
Avg Days To Max Increase   19 15 19 18 17 13 12 25 18 17 16
Avg Max Decline   -1.85% -1.53% -2.46% -2.26% -1.36% -1.78% -2.03% -2.39% -3.51% -2.72% -2.42%
Max Decline   -5.80% -7.25% -9.40% -13.08% -8.58% -10.27% -10.51% -5.76% -12.03% -11.73% -13.95%
Avg Days to Max Decline   7 7 9 10 10 6 5 19 6 11 3
2019 Contract Condition   Yes Yes Yes Yes   Yes Yes       Yes
Action   Yes Yes No 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   15 24 27 28 31 32 33 34 34 34 34
Closed Lower   4 7 12 13 11 15 16 18 19 14 13
Penetrated Low   1 5 7 9 7 10 12 15 14 7 8
Scenario Percentage   25% 71% 58% 69% 64% 67% 75% 83% 74% 50% 62%
Avg Max Decline   9.43% 8.90% 9.05% 10.58% 11.51% 13.55% 14.24% 15.53% 15.49% 21.20% 11.26%
Max Decline   9.43% 21.39% 16.48% 30.04% 25.77% 48.34% 55.77% 45.55% 32.34% 43.15% 29.14%
Avg Days To Max Decline   4 17 17 15 17 18 16 18 18 16 13
Avg Max Increase   -5.34% -3.06% -0.43% -2.10% -2.67% -1.89% -0.92% -2.28% -3.05% -4.58% -1.23%
Max Increase   -5.34% -6.37% -2.09% -8.82% -11.97% -11.93% -7.32% -6.63% -10.96% -17.88% -7.99%
Avg Days to Max Increase   13 9 4 10 13 13 5 2 11 8 2
2019 Contract Condition           Yes     Yes Yes Yes  
Action           No     Yes Yes No  
High 178.49 179.76 190.00 204.28 198.84 200.50 200.04 211.32 217.30 178.95 153.48 147.96
Low 161.68 164.55 171.58 183.51 183.56 183.87 184.42 192.46 177.84 138.08 124.24 127.90
Close/Last 167.68 177.96 188.21 196.77 198.32 193.24 198.40 209.61 178.45 142.58 131.20 137.76

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