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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 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   11 22 24 26 29 30 31 31 31 31 31
Closed Higher   6 13 14 14 10 17 16 16 19 17 23
Exceeded High   5 12 13 11 8 11 13 16 18 17 17
Scenario Percentage   83% 92% 93% 79% 80% 65% 81% 100% 95% 100% 74%
Avg Max Increase   8.26% 8.89% 10.30% 7.52% 7.81% 10.40% 13.16% 11.77% 12.65% 17.30% 10.62%
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   17 17 17 15 16 24 18 18 19 19 19
Avg Max Decline   -0.50% -1.69% -1.05% -0.85% -1.74% -1.93% -1.76% -1.96% -4.68% -4.04% -2.49%
Max Decline   -3.30% -11.73% -7.94% -3.56% -7.87% -5.12% -8.63% -9.31% -17.17% -14.16% -8.55%
Avg Days to Max Decline   2 14 8 10 6 15 5 10 10 10 3
2016 Contract Condition         Yes   Yes         Yes
Action         No   No         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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   11 22 24 26 29 30 31 31 31 31 31
Closed Lower   5 9 10 12 18 13 15 15 12 14 8
Penetrated Low   3 6 7 7 14 11 13 10 7 9 5
Scenario Percentage   60% 67% 70% 58% 78% 85% 87% 67% 58% 64% 63%
Avg Max Decline   9.89% 9.67% 11.32% 15.19% 12.43% 14.77% 13.70% 14.96% 13.34% 8.50% 8.20%
Max Decline   13.48% 24.71% 23.72% 45.12% 51.46% 41.40% 28.66% 40.25% 34.05% 17.21% 14.32%
Avg Days To Max Decline   24 21 22 18 17 18 19 16 13 12 10
Avg Max Increase   -0.73% -2.89% -1.95% -0.32% -0.74% -2.02% -2.10% -3.39% -0.79% -4.21% -2.48%
Max Increase   -1.90% -7.88% -10.59% -2.70% -6.82% -5.02% -12.19% -9.03% -6.84% -10.04% -5.59%
Avg Days to Max Increase   8 14 11 6 8 3 12 13 4 16 2
2016 Contract Condition   Yes Yes Yes   Yes   Yes Yes Yes Yes  
Action   Yes Yes Yes   Yes   Yes Yes Yes No  
High 199.75 202.18 200.77 191.77 172.89 168.56 171.40 170.39 163.34 157.82 136.30 153.98
Low 179.01 188.74 190.62 170.47 146.23 155.92 155.46 148.89 143.68 124.32 114.88 131.10
Close/Last 199.75 197.02 194.21 171.78 172.89 160.45 164.70 157.11 152.25 136.58 134.82 144.67

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