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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May RBOB Gasoline(NYM) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   8 19 21 23 26 27 28 28 28 28 28
Closed Higher   5 11 13 12 10 15 15 15 19 15 22
Exceeded High   4 11 12 11 8 10 12 15 18 15 17
Scenario Percentage   80% 100% 92% 92% 80% 67% 80% 100% 95% 100% 77%
Avg Max Increase   8.98% 8.72% 10.81% 7.52% 7.81% 10.66% 13.85% 12.40% 12.65% 19.27% 10.26%
Max Increase   14.52% 26.43% 52.64% 28.22% 17.98% 17.01% 24.88% 26.92% 31.39% 47.38% 22.82%
Avg Days To Max Increase   16 16 16 15 16 23 17 18 19 18 19
Avg Max Decline   -0.42% -1.92% -0.85% -0.85% -1.74% -1.83% -1.82% -1.70% -4.68% -3.32% -2.64%
Max Decline   -3.30% -11.73% -7.94% -3.56% -7.87% -5.12% -8.63% -9.31% -17.17% -8.87% -8.74%
Avg Days to Max Decline   2 15 8 10 6 16 5 8 10 8 3
2013 Contract Condition       Yes Yes     Yes Yes Yes   Yes
Action       Yes Yes     Yes Yes Yes   Not Yet
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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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   8 19 21 23 26 27 28 28 28 28 28
Closed Lower   3 8 8 11 15 12 13 13 9 13 6
Penetrated Low   2 5 5 6 11 10 11 8 5 9 4
Scenario Percentage   67% 63% 63% 55% 73% 83% 85% 62% 56% 69% 67%
Avg Max Decline   8.09% 6.67% 11.30% 15.05% 13.01% 13.36% 11.96% 14.06% 15.27% 8.50% 9.46%
Max Decline   8.21% 11.29% 23.72% 45.12% 51.46% 41.40% 28.66% 40.25% 34.05% 17.21% 14.32%
Avg Days To Max Decline   22 20 20 18 17 17 19 17 16 12 12
Avg Max Increase   -0.14% -3.72% -3.15% -0.38% 0.08% -2.18% -1.84% -3.65% -1.09% -4.21% -3.11%
Max Increase   -1.37% -7.88% -10.59% -2.70% -2.95% -5.02% -12.19% -9.03% -6.84% -10.04% -5.59%
Avg Days to Max Increase   7 16 15 7 8 3 14 16 6 16 2
2013 Contract Condition   Yes Yes     Yes Yes       Yes  
Action   Yes No     Yes Yes       Yes  
High 304.04 295.31 256.00 272.02 292.78 299.01 294.92 290.29 291.89 315.00 330.37 324.45
Low 294.76 258.79 237.54 247.07 266.99 277.41 272.61 271.09 275.78 287.57 305.27 301.51
Close/Last 295.01 258.79 253.34 265.12 292.78 286.51 276.69 288.61 289.40 314.50 307.79 311.06

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