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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 21, 2022
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   18 28 30 33 35 36 36 36 36 36 36
Closed Higher   9 17 17 14 20 20 21 23 18 27 26
Exceeded High   8 15 13 11 14 17 21 20 18 24 20
Scenario Percentage   89% 88% 76% 79% 70% 85% 100% 87% 100% 89% 77%
Avg Max Increase   5.59% 9.77% 8.59% 7.47% 10.13% 12.43% 10.39% 14.26% 15.59% 13.71% 10.47%
Max Increase   11.90% 52.68% 28.27% 17.83% 17.58% 23.63% 28.12% 32.68% 36.66% 36.31% 38.93%
Avg Days To Max Increase   19 19 16 15 24 18 18 20 21 16 16
Avg Max Decline   -2.93% -1.20% -1.27% -1.60% -2.13% -1.77% -1.82% -4.28% -2.94% -3.60% -2.67%
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   5 8 8 5 13 5 8 10 10 5 4
2021 Contract Condition   Yes Yes Yes     Yes Yes Yes Yes Yes Yes
Action   Yes Yes 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   18 28 30 33 35 36 36 36 36 36 36
Closed Lower   9 11 13 19 15 16 15 13 18 9 10
Penetrated Low   5 8 8 14 13 14 9 8 11 5 5
Scenario Percentage   56% 73% 62% 74% 87% 88% 60% 62% 61% 56% 50%
Avg Max Decline   11.34% 9.79% 13.52% 12.83% 14.42% 12.94% 15.60% 21.20% 13.95% 10.51% 6.33%
Max Decline   24.60% 23.55% 44.81% 50.50% 40.45% 27.97% 39.48% 68.76% 64.69% 18.26% 9.21%
Avg Days To Max Decline   11 20 17 16 17 19 16 15 13 4 10
Avg Max Increase   -0.90% -1.94% -1.36% -0.88% -1.92% -2.39% -2.87% -2.00% -3.24% -2.05% -0.81%
Max Increase   -5.30% -10.55% -9.12% -6.98% -4.79% -11.90% -6.95% -7.04% -9.52% -4.71% -2.60%
Avg Days to Max Increase   8 11 8 7 3 13 8 7 14 3 2
2021 Contract Condition         Yes Yes            
Action         Yes Yes            
High 121.64 134.89 135.01 141.63 140.95 135.50 143.54 153.74 170.39 196.53 212.80 211.89
Low 97.51 119.03 125.72 129.34 126.95 117.12 113.95 137.87 149.90 164.47 186.18 191.61
Close/Last 121.11 126.57 129.98 138.47 134.26 119.21 140.98 153.40 165.29 192.35 195.36 207.63

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