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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 Jun 30, 2022
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   16 26 29 32 36 36 37 37 37 37 37
Closed Higher   13 13 18 22 21 17 19 20 22 23 19
Exceeded High   11 10 17 18 17 15 12 17 22 19 18
Scenario Percentage   85% 77% 94% 82% 81% 88% 63% 85% 100% 83% 95%
Avg Max Increase   12.68% 9.12% 8.23% 9.82% 8.04% 7.66% 9.89% 13.61% 12.45% 16.83% 11.47%
Max Increase   35.19% 14.66% 27.24% 54.45% 28.85% 18.46% 17.20% 27.12% 33.52% 46.23% 32.66%
Avg Days To Max Increase   17 19 21 19 15 16 23 18 18 18 19
Avg Max Decline   -0.84% -2.31% -2.41% -1.76% -1.44% -2.24% -2.05% -1.89% -1.85% -4.40% -2.94%
Max Decline   -5.74% -11.05% -11.95% -12.80% -8.21% -9.33% -5.20% -8.51% -9.66% -17.22% -10.79%
Avg Days to Max Decline   3 8 12 9 8 5 15 5 9 8 4
2022 Contract Condition   Yes Yes Yes Yes   Yes Yes   Yes Yes Yes
Action   Yes Yes Yes Yes   Yes No   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   16 26 29 32 36 36 37 37 37 37 37
Closed Lower   3 13 11 10 15 18 17 17 15 14 18
Penetrated Low   2 7 7 7 9 14 14 15 9 9 11
Scenario Percentage   67% 54% 64% 70% 60% 78% 82% 88% 60% 64% 61%
Avg Max Decline   14.08% 7.86% 10.22% 10.20% 13.83% 12.76% 15.01% 13.43% 16.14% 20.85% 12.82%
Max Decline   19.72% 13.84% 25.39% 23.96% 45.36% 51.97% 42.72% 29.87% 42.20% 77.42% 74.64%
Avg Days To Max Decline   21 17 17 19 16 15 16 18 17 11 14
Avg Max Increase   -1.97% -0.51% -2.51% -1.76% -1.35% -0.86% -2.09% -2.91% -3.63% -1.83% -2.17%
Max Increase   -3.84% -1.89% -8.35% -11.01% -10.38% -6.77% -6.20% -12.42% -11.22% -8.27% -7.41%
Avg Days to Max Increase   12 5 11 12 9 6 2 12 13 6 5
2022 Contract Condition           Yes     Yes      
Action           No     Yes      
High 194.50 198.58 208.76 218.81 220.70 219.02 227.30 248.98 243.60 239.72 268.59 307.01
Low 176.47 184.00 194.76 205.30 198.50 192.10 209.30 224.13 202.05 198.83 231.79 261.88
Close/Last 184.36 195.05 206.10 214.62 220.30 212.63 225.47 239.42 205.40 233.14 266.04 293.25

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