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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 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   14 25 27 29 32 33 34 34 34 34 34
Closed Higher   8 14 15 17 13 18 18 18 21 18 25
Exceeded High   6 13 14 14 11 12 15 18 19 18 20
Scenario Percentage   75% 93% 93% 82% 85% 67% 83% 100% 90% 100% 80%
Avg Max Increase   7.42% 8.29% 10.05% 8.28% 7.59% 10.04% 12.73% 10.86% 13.05% 17.76% 10.28%
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 18 17 15 14 24 17 18 20 19 20
Avg Max Decline   -0.45% -2.07% -1.33% -1.19% -1.54% -1.85% -1.74% -1.94% -4.45% -3.94% -2.77%
Max Decline   -3.30% -11.73% -7.94% -3.56% -7.87% -5.12% -8.63% -9.31% -17.17% -14.16% -8.74%
Avg Days to Max Decline   2 14 8 8 5 17 6 9 10 10 3
2019 Contract Condition   Yes Yes   Yes Yes       Yes Yes Yes
Action   No Yes   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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   14 25 27 29 32 33 34 34 34 34 34
Closed Lower   6 11 12 12 18 15 16 16 13 16 9
Penetrated Low   4 7 8 7 14 13 14 10 8 10 6
Scenario Percentage   67% 64% 67% 58% 78% 87% 88% 63% 62% 63% 67%
Avg Max Decline   9.27% 9.95% 10.24% 15.19% 12.43% 15.27% 13.59% 14.96% 13.10% 8.88% 8.45%
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   23 18 20 18 17 19 19 16 13 13 13
Avg Max Increase   -0.51% -2.66% -1.68% -0.32% -0.74% -1.95% -2.43% -3.39% -0.98% -3.87% -2.74%
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   6 12 10 6 8 2 11 13 5 19 4
2019 Contract Condition       Yes     Yes Yes Yes      
Action       No     Yes Yes No      
High 204.26 220.12 215.00 216.70 217.04 228.74 235.33 200.39 174.24 168.34 179.40 192.23
Low 189.84 201.07 199.70 200.50 202.02 210.30 199.26 159.97 143.37 147.36 159.40 172.62
Close/Last 204.26 213.80 214.69 210.01 215.87 227.30 199.71 163.27 150.23 159.92 176.58 188.25

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