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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 Nov 09, 2020
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   15 24 27 28 32 35 35 35 35 35 35
Closed Higher   9 13 12 16 17 19 22 17 26 26 19
Exceeded High   7 10 10 12 15 18 19 17 22 22 11
Scenario Percentage   78% 77% 83% 75% 88% 95% 86% 100% 85% 85% 58%
Avg Max Increase   5.34% 6.70% 7.94% 8.01% 11.06% 8.86% 12.81% 14.64% 11.97% 12.77% 8.00%
Max Increase   12.65% 13.21% 17.64% 13.11% 21.01% 21.50% 32.57% 30.89% 32.29% 64.48% 23.21%
Avg Days To Max Increase   17 16 14 22 17 18 20 21 16 13 19
Avg Max Decline   -1.59% -1.93% -1.09% -1.90% -1.22% -1.47% -4.07% -2.91% -3.30% -2.31% -3.08%
Max Decline   -7.41% -3.52% -6.49% -7.78% -8.06% -8.15% -17.05% -13.80% -13.26% -9.95% -6.34%
Avg Days to Max Decline   8 9 5 10 6 9 10 10 5 5 6
2020 Contract Condition   Yes   Yes Yes Yes Yes       Yes Yes
Action   No   No 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   15 24 27 28 32 35 35 35 35 35 35
Closed Lower   6 11 14 12 15 16 13 18 9 9 16
Penetrated Low   5 7 11 10 13 9 8 10 5 7 13
Scenario Percentage   83% 64% 79% 83% 87% 56% 62% 56% 56% 78% 81%
Avg Max Decline   10.34% 14.33% 12.52% 15.59% 12.24% 15.28% 20.34% 14.01% 9.42% 9.12% 9.39%
Max Decline   23.47% 44.50% 49.69% 39.46% 27.20% 39.30% 65.38% 60.95% 15.58% 17.72% 25.46%
Avg Days To Max Decline   18 19 15 17 18 15 15 14 4 14 17
Avg Max Increase   -0.29% -1.18% -0.68% -1.64% -1.18% -2.66% -1.87% -3.37% -1.64% -3.21% -1.43%
Max Increase   -3.70% -8.90% -6.35% -4.82% -6.52% -5.94% -6.87% -9.55% -4.71% -7.51% -5.48%
Avg Days to Max Increase   8 7 9 4 10 8 8 15 3 10 6
2020 Contract Condition     Yes         Yes Yes Yes    
Action     No         Yes Yes No    
High 180.45 185.07 175.00 182.72 176.34 181.64 189.10 193.61 175.81 155.55 90.08 109.99
Low 162.15 172.27 158.40 159.61 161.26 170.37 171.80 163.35 143.73 56.95 57.50 76.34
Close/Last 178.90 179.25 164.76 166.44 169.84 173.19 184.43 164.51 145.83 71.65 80.79 107.85

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