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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, 2015
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   9 18 21 22 26 29 29 29 29 29 29
Closed Higher   7 9 8 12 14 16 20 15 23 21 14
Exceeded High   6 7 7 8 12 15 18 15 19 18 9
Scenario Percentage   86% 78% 88% 67% 86% 94% 90% 100% 83% 86% 64%
Avg Max Increase   5.22% 4.86% 8.38% 7.70% 11.17% 9.86% 12.61% 15.13% 11.81% 10.98% 6.54%
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   16 15 17 23 18 19 20 21 15 12 19
Avg Max Decline   -1.11% -1.88% -1.35% -1.67% -1.34% -1.58% -4.27% -2.23% -3.30% -1.48% -2.78%
Max Decline   -7.41% -3.52% -6.49% -3.35% -8.06% -8.15% -17.05% -6.69% -13.26% -3.89% -6.34%
Avg Days to Max Decline   7 12 6 13 6 10 10 10 6 4 7
2014 Contract Condition   Yes Yes   Yes Yes Yes   Yes   Yes Yes
Action   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   9 18 21 22 26 29 29 29 29 29 29
Closed Lower   2 9 12 10 12 13 9 14 6 8 15
Penetrated Low   2 6 9 8 10 7 5 8 4 6 12
Scenario Percentage   100% 67% 75% 80% 83% 54% 56% 57% 67% 75% 80%
Avg Max Decline   13.52% 14.12% 12.18% 12.47% 10.20% 14.57% 14.34% 8.35% 8.34% 8.95% 9.66%
Max Decline   23.47% 44.50% 49.69% 39.46% 27.20% 39.30% 36.30% 20.02% 15.58% 17.72% 25.46%
Avg Days To Max Decline   16 20 13 15 17 16 15 11 4 13 18
Avg Max Increase   -2.02% -1.40% -0.01% -1.99% -0.24% -2.84% -1.32% -3.35% -0.87% -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 7 5 12 10 7 13 1 8 6
2014 Contract Condition       Yes       Yes   Yes    
Action       Yes       No   Yes    
High 278.93 281.40 292.26 287.20 280.60 285.65 294.10 286.84 294.96 297.25 301.72 301.65
Low 263.17 268.81 274.63 269.45 266.84 266.86 279.26 273.47 273.89 279.58 278.57 285.36
Close/Last 266.65 281.40 286.32 269.94 274.60 282.03 289.21 276.30 290.35 287.96 292.84 297.19

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