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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 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   16 26 28 31 33 34 34 34 34 34 34
Closed Higher   7 15 16 13 19 18 19 22 17 26 24
Exceeded High   6 14 13 11 13 15 19 19 17 23 18
Scenario Percentage   86% 93% 81% 85% 68% 83% 100% 86% 100% 88% 75%
Avg Max Increase   4.85% 9.83% 8.59% 7.47% 10.02% 11.85% 9.70% 13.50% 15.88% 13.72% 9.09%
Max Increase   10.27% 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   18 18 16 15 24 18 18 21 22 16 16
Avg Max Decline   -3.40% -1.25% -1.27% -1.60% -2.29% -1.79% -1.76% -4.48% -2.98% -3.67% -2.60%
Max Decline   -12.14% -7.48% -3.53% -7.12% -7.76% -8.45% -8.61% -17.33% -14.04% -14.14% -10.36%
Avg Days to Max Decline   7 8 8 5 14 6 9 10 10 5 4
2019 Contract Condition   Yes   Yes Yes       Yes Yes Yes Yes
Action   Yes   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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   16 26 28 31 33 34 34 34 34 34 34
Closed Lower   9 11 12 18 14 16 15 12 17 8 10
Penetrated Low   5 8 8 13 12 14 9 7 10 5 5
Scenario Percentage   56% 73% 67% 72% 86% 88% 60% 58% 59% 63% 50%
Avg Max Decline   11.34% 9.79% 13.52% 12.66% 15.25% 12.94% 15.60% 14.41% 8.88% 10.51% 6.33%
Max Decline   24.60% 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   11 20 17 17 19 19 16 14 12 4 10
Avg Max Increase   -0.90% -1.94% -1.36% -0.87% -1.88% -2.39% -2.87% -1.28% -2.88% -2.05% -0.81%
Max Increase   -5.30% -10.55% -9.12% -6.98% -4.79% -11.90% -6.95% -6.40% -9.52% -4.71% -2.60%
Avg Days to Max Increase   8 11 8 7 3 13 8 6 15 3 2
2019 Contract Condition     Yes     Yes Yes Yes        
Action     No     Yes Yes No        
High 219.86 213.52 215.28 216.10 227.37 234.13 200.66 174.31 168.78 179.80 189.60 209.69
Low 198.58 198.34 199.24 200.34 208.89 199.34 159.94 143.74 147.86 160.09 172.98 186.78
Close/Last 212.40 213.14 208.71 214.52 225.91 199.92 163.53 150.76 160.70 176.92 186.80 206.68

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