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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 Oct 06, 2023
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   18 27 30 31 35 38 38 38 38 38 38
Closed Higher   11 14 13 18 19 22 25 19 29 28 21
Exceeded High   9 10 11 13 17 21 21 19 25 24 13
Scenario Percentage   82% 71% 85% 72% 89% 95% 84% 100% 86% 86% 62%
Avg Max Increase   5.44% 6.70% 8.07% 7.88% 11.37% 10.57% 14.69% 15.04% 12.73% 13.34% 8.14%
Max Increase   12.65% 13.21% 17.64% 13.11% 21.01% 28.47% 37.05% 30.89% 33.66% 64.48% 23.21%
Avg Days To Max Increase   20 16 15 21 18 19 19 21 16 14 18
Avg Max Decline   -2.43% -1.93% -0.99% -1.63% -1.87% -1.75% -3.77% -2.70% -3.04% -2.30% -2.69%
Max Decline   -12.09% -3.52% -6.49% -7.78% -11.81% -8.15% -17.05% -13.80% -13.26% -9.95% -6.34%
Avg Days to Max Decline   9 9 4 9 6 8 9 10 5 6 7
2023 Contract Condition         Yes Yes Yes Yes   Yes    
Action         Yes Yes Yes No   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   18 27 30 31 35 38 38 38 38 38 38
Closed Lower   7 13 16 13 16 16 13 19 9 10 17
Penetrated Low   6 8 12 11 14 9 8 11 5 8 13
Scenario Percentage   86% 62% 75% 85% 88% 56% 62% 58% 56% 80% 76%
Avg Max Decline   11.08% 13.46% 12.64% 14.49% 11.57% 15.28% 20.34% 13.72% 9.42% 9.36% 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   19 20 14 16 17 15 15 15 4 13 17
Avg Max Increase   -0.15% -1.42% -0.70% -1.67% -1.37% -2.66% -1.87% -3.60% -1.64% -2.93% -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   7 8 9 4 9 8 8 14 3 9 6
2023 Contract Condition   Yes Yes Yes         Yes   Yes Yes
Action   Yes Yes No         Yes   Yes Not Yet
High 298.47 274.52 267.00 254.70 262.50 269.90 259.00 273.44 263.16 271.15 276.75 262.39
Low 269.14 246.02 245.50 228.90 240.30 240.28 224.42 236.87 239.18 228.35 243.16 221.32
Close/Last 269.14 268.52 247.14 234.07 253.90 254.47 256.54 262.54 255.96 257.35 248.80 244.38

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