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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 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   13 23 26 29 33 33 34 34 34 34 34
Closed Higher   10 11 15 19 20 15 17 18 19 21 17
Exceeded High   9 8 14 16 17 13 11 15 19 16 15
Scenario Percentage   90% 73% 93% 84% 85% 87% 65% 83% 100% 76% 88%
Avg Max Increase   10.24% 9.01% 8.69% 10.26% 8.04% 7.25% 9.75% 13.06% 10.85% 14.21% 10.03%
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 18 21 17 15 15 23 18 18 15 18
Avg Max Decline   -0.84% -2.33% -2.20% -1.22% -1.44% -2.26% -2.24% -1.91% -1.81% -3.33% -2.68%
Max Decline   -5.74% -11.05% -11.95% -7.78% -8.21% -9.33% -5.20% -8.51% -9.66% -17.22% -9.62%
Avg Days to Max Decline   3 3 13 8 8 5 16 6 9 5 5
2019 Contract Condition   Yes Yes Yes   Yes Yes       Yes Yes
Action   Yes 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   13 23 26 29 33 33 34 34 34 34 34
Closed Lower   3 12 11 10 13 17 16 16 15 13 17
Penetrated Low   2 6 7 7 9 13 13 14 9 8 10
Scenario Percentage   67% 50% 64% 70% 69% 76% 81% 88% 60% 62% 59%
Avg Max Decline   14.08% 8.28% 10.22% 10.20% 13.83% 12.53% 15.83% 14.16% 16.14% 13.77% 6.64%
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 17 19 16 16 18 19 17 10 13
Avg Max Increase   -1.97% -0.45% -2.51% -1.76% -1.35% -0.86% -2.06% -2.80% -3.63% -1.03% -1.64%
Max Increase   -3.84% -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   12 5 11 12 9 5 2 12 13 4 6
2019 Contract Condition         Yes     Yes Yes Yes    
Action         No     Yes Yes No    
High 197.08 206.19 221.16 215.17 216.88 216.96 228.54 234.85 199.02 172.78 166.93 178.00
Low 182.60 190.35 199.72 200.38 200.39 201.51 209.82 197.90 158.08 142.27 146.13 157.65
Close/Last 195.39 204.39 213.77 214.76 209.97 215.70 227.18 198.37 161.95 149.15 158.24 175.23

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