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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   8 17 20 21 25 28 28 28 28 28 28
Closed Higher   6 8 8 11 13 15 20 14 23 20 13
Exceeded High   5 7 7 7 11 14 18 14 19 17 7
Scenario Percentage   83% 88% 88% 64% 85% 93% 90% 100% 83% 85% 54%
Avg Max Increase   5.49% 4.86% 8.38% 7.78% 11.79% 10.42% 12.61% 15.93% 11.81% 11.18% 7.12%
Max Increase   12.65% 10.73% 17.64% 12.61% 21.01% 21.50% 32.57% 30.89% 32.29% 43.55% 12.35%
Avg Days To Max Increase   14 15 17 22 17 19 20 21 15 11 14
Avg Max Decline   -0.85% -1.88% -1.35% -1.51% -1.38% -1.31% -4.27% -2.10% -3.30% -1.42% -2.32%
Max Decline   -7.41% -3.52% -6.49% -3.35% -8.06% -8.15% -17.05% -6.69% -13.26% -3.89% -6.00%
Avg Days to Max Decline   7 12 6 14 6 10 10 8 6 4 4
2013 Contract Condition   Yes Yes     Yes   Yes   Yes    
Action   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   8 17 20 21 25 28 28 28 28 28 28
Closed Lower   2 9 11 10 12 13 8 14 5 8 15
Penetrated Low   2 6 8 8 10 7 5 8 3 6 12
Scenario Percentage   100% 67% 73% 80% 83% 54% 63% 57% 60% 75% 80%
Avg Max Decline   13.52% 14.12% 13.55% 12.47% 10.20% 14.57% 14.34% 8.35% 10.03% 8.95% 9.61%
Max Decline   23.47% 44.50% 49.69% 39.46% 27.20% 39.30% 36.30% 20.02% 15.58% 17.72% 24.83%
Avg Days To Max Decline   16 20 15 15 17 16 15 11 4 13 18
Avg Max Increase   -2.02% -1.40% -0.04% -1.99% -0.24% -2.84% -1.32% -3.35% -1.22% -2.50% -1.47%
Max Increase   -3.70% -8.90% -2.38% -4.82% -5.67% -5.94% -6.58% -9.55% -4.65% -7.01% -5.48%
Avg Days to Max Increase   14 8 8 5 12 10 7 13 1 8 6
2013 Contract Condition       Yes Yes   Yes   Yes   Yes Yes
Action       Yes Yes   No   Yes   Yes Not Yet
High 252.00 266.07 286.89 292.71 287.14 282.78 285.58 304.18 318.04 311.78 308.05 290.54
Low 234.52 246.26 261.49 272.15 266.99 265.50 270.43 280.26 295.14 292.59 267.71 267.50
Close/Last 249.48 259.84 286.89 280.46 271.03 282.40 282.38 303.88 296.77 304.76 278.40 275.49

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