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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for April RBOB Gasoline(NYM) as of Dec 30, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   10 20 23 26 30 30 31 31 31 31 31
Closed Higher   8 9 14 18 17 12 16 16 17 19 16
Exceeded High   7 7 13 15 14 10 10 13 17 16 15
Scenario Percentage   88% 78% 93% 83% 82% 83% 63% 81% 100% 84% 94%
Avg Max Increase   11.14% 9.82% 9.28% 10.46% 7.39% 7.34% 10.15% 13.52% 11.69% 13.57% 9.97%
Max Increase   28.83% 14.66% 27.24% 54.45% 28.85% 18.46% 17.20% 27.12% 33.52% 30.03% 24.67%
Avg Days To Max Increase   15 19 20 17 14 17 23 18 18 18 19
Avg Max Decline   0.06% -2.63% -1.85% -0.95% -1.19% -2.63% -2.33% -1.94% -1.81% -5.06% -3.25%
Max Decline   -2.21% -11.05% -11.95% -7.78% -8.21% -9.33% -5.20% -8.51% -9.66% -17.22% -10.79%
Avg Days to Max Decline   3 3 12 8 9 6 14 6 10 10 5
2016 Contract Condition   Yes       Yes   Yes        
Action   Yes       No   No        
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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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   10 20 23 26 30 30 31 31 31 31 31
Closed Lower   2 11 9 8 13 17 14 15 14 12 15
Penetrated Low   1 5 6 6 9 13 11 13 9 7 9
Scenario Percentage   50% 45% 67% 75% 69% 76% 79% 87% 64% 58% 60%
Avg Max Decline   19.72% 8.33% 9.95% 11.45% 13.83% 12.53% 15.43% 14.31% 16.14% 14.07% 6.30%
Max Decline   19.72% 13.84% 25.39% 23.96% 45.36% 51.97% 42.72% 29.87% 42.20% 36.09% 13.98%
Avg Days To Max Decline   21 19 20 22 16 16 17 19 17 9 13
Avg Max Increase   -0.10% -0.52% -2.64% -2.03% -1.35% -0.86% -2.00% -2.50% -3.63% -0.85% -1.85%
Max Increase   -0.10% -1.89% -8.35% -11.01% -10.38% -6.77% -6.20% -12.42% -11.22% -7.10% -5.94%
Avg Days to Max Increase   1 6 13 14 9 5 3 13 13 4 6
2016 Contract Condition     Yes Yes Yes   Yes   Yes Yes Yes Yes
Action     Yes Yes Yes   Yes   Yes Yes Yes Not Yet
High 193.74 199.28 202.65 200.44 192.06 171.69 168.78 169.97 169.30 162.17 156.95 134.72
Low 172.35 178.33 187.66 189.70 169.50 144.53 154.33 154.03 147.20 142.13 122.74 112.53
Close/Last 178.80 199.28 196.73 193.72 170.75 171.58 159.20 163.22 155.55 151.10 134.87 132.07

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