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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   10 20 22 25 27 28 28 28 28 28 28
Closed Higher   4 13 11 10 15 15 16 20 14 23 19
Exceeded High   4 12 10 8 10 12 16 18 14 20 15
Scenario Percentage   100% 92% 91% 80% 67% 80% 100% 90% 100% 87% 79%
Avg Max Increase   4.35% 10.60% 7.85% 7.64% 10.28% 12.77% 10.95% 13.25% 17.31% 13.82% 10.00%
Max Increase   6.66% 52.68% 28.27% 17.83% 17.58% 23.63% 23.34% 32.68% 36.66% 36.31% 33.03%
Avg Days To Max Increase   12 16 15 16 23 18 19 21 21 15 14
Avg Max Decline   -3.67% -0.78% -0.92% -1.85% -1.82% -1.93% -1.53% -4.70% -2.14% -3.71% -1.91%
Max Decline   -12.14% -7.48% -3.53% -7.12% -5.04% -8.45% -8.61% -17.33% -7.19% -14.14% -9.92%
Avg Days to Max Decline   6 8 10 5 16 5 9 11 9 6 4
2013 Contract Condition     Yes Yes     Yes Yes Yes   Yes  
Action     Yes Yes     Yes Yes Yes   No  
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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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   10 20 22 25 27 28 28 28 28 28 28
Closed Lower   6 7 11 15 12 13 12 8 14 5 9
Penetrated Low   3 5 7 10 10 11 7 5 9 3 4
Scenario Percentage   50% 71% 64% 67% 83% 85% 58% 63% 64% 60% 44%
Avg Max Decline   6.82% 10.58% 13.15% 13.45% 12.62% 11.22% 14.92% 14.91% 8.44% 11.59% 6.32%
Max Decline   10.51% 23.55% 44.81% 50.50% 40.45% 27.97% 39.48% 35.67% 18.62% 18.26% 9.21%
Avg Days To Max Decline   10 20 18 18 17 19 18 16 10 4 12
Avg Max Increase   -1.11% -3.15% -1.55% 0.07% -2.18% -1.81% -3.10% -1.40% -3.17% -1.99% -0.90%
Max Increase   -5.30% -10.55% -9.12% -2.94% -4.79% -11.90% -6.95% -6.40% -9.52% -4.71% -2.60%
Avg Days to Max Increase   13 16 9 7 3 15 10 6 12 1 3
2013 Contract Condition   Yes     Yes Yes       Yes   Yes
Action   No     Yes Yes       Yes   Yes
High 294.21 257.80 269.55 292.12 297.50 291.84 287.30 289.73 309.60 324.12 318.55 311.83
Low 257.34 235.95 248.39 262.15 273.12 269.60 268.47 273.37 284.18 300.27 297.96 269.79
Close/Last 257.34 251.78 262.82 290.21 283.76 274.19 285.95 286.22 309.19 302.30 308.36 280.20

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