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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, 2016
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   12 22 24 27 29 30 30 30 30 30 30
Closed Higher   6 14 12 10 16 16 17 20 16 23 21
Exceeded High   5 13 10 8 11 13 17 18 16 20 16
Scenario Percentage   83% 93% 83% 80% 69% 81% 100% 90% 100% 87% 76%
Avg Max Increase   5.54% 10.08% 7.85% 7.64% 10.02% 12.13% 10.43% 13.25% 15.72% 13.51% 9.27%
Max Increase   10.27% 52.68% 28.27% 17.83% 17.58% 23.63% 23.34% 32.68% 36.66% 34.21% 30.99%
Avg Days To Max Increase   15 17 15 16 23 19 19 21 22 15 15
Avg Max Decline   -2.78% -0.95% -0.92% -1.85% -1.91% -1.87% -1.77% -4.70% -3.03% -3.71% -2.04%
Max Decline   -12.14% -7.48% -3.53% -7.12% -5.04% -8.45% -8.61% -17.33% -14.04% -14.14% -9.92%
Avg Days to Max Decline   5 8 10 5 15 5 9 11 11 6 4
2015 Contract Condition   Yes               Yes   Yes
Action   No               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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   12 22 24 27 29 30 30 30 30 30 30
Closed Lower   6 8 12 17 13 14 13 10 14 7 9
Penetrated Low   3 6 8 12 11 12 8 5 9 4 4
Scenario Percentage   50% 75% 67% 71% 85% 86% 62% 50% 64% 57% 44%
Avg Max Decline   6.82% 10.12% 13.52% 13.13% 14.09% 12.34% 14.53% 14.91% 8.44% 9.50% 6.19%
Max Decline   10.51% 23.55% 44.81% 50.50% 40.45% 27.97% 39.48% 35.67% 18.62% 18.26% 8.67%
Avg Days To Max Decline   10 22 17 18 18 18 17 16 10 4 10
Avg Max Increase   -1.11% -2.66% -1.36% -0.36% -2.02% -1.92% -2.79% -1.40% -3.17% -1.48% -0.90%
Max Increase   -5.30% -10.55% -9.12% -3.80% -4.79% -11.90% -6.95% -6.40% -9.52% -4.71% -2.60%
Avg Days to Max Increase   13 14 8 7 3 14 9 6 12 1 3
2015 Contract Condition     Yes Yes Yes Yes Yes Yes Yes   Yes  
Action     Yes Yes Yes Yes Yes Yes No   No  
High 278.96 291.07 287.41 279.71 274.10 261.67 238.69 210.50 175.52 196.17 195.48 205.02
Low 270.00 274.70 278.06 269.85 257.26 230.07 203.42 169.39 153.70 168.45 167.99 172.70
Close/Last 276.08 286.54 279.10 274.07 258.39 237.67 203.97 174.37 171.65 195.43 175.83 204.51

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