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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   11 21 22 23 26 26 28 28 28 28 28
Closed Higher   5 9 11 10 14 17 16 23 19 14 13
Exceeded High   4 7 7 9 13 15 16 20 16 12 10
Scenario Percentage   80% 78% 64% 90% 93% 88% 100% 87% 84% 86% 77%
Avg Max Increase   9.36% 8.05% 7.26% 10.58% 10.46% 14.32% 13.20% 10.63% 11.48% 10.62% 9.15%
Max Increase   27.22% 17.17% 11.94% 20.89% 20.34% 33.07% 26.78% 30.63% 41.22% 16.94% 18.79%
Avg Days To Max Increase   17 16 22 17 20 20 18 14 15 16 16
Avg Max Decline   0.20% -1.45% -1.22% -0.94% -0.71% -2.99% -2.09% -2.42% -2.00% -4.83% -1.96%
Max Decline   -2.71% -6.20% -3.08% -7.68% -7.85% -16.59% -6.78% -7.23% -12.59% -11.35% -4.69%
Avg Days to Max Decline   6 6 14 7 8 9 7 6 7 11 4
2013 Contract Condition   Yes     Yes   Yes   Yes      
Action   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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   11 21 22 23 26 26 28 28 28 28 28
Closed Lower   6 11 11 12 12 9 12 5 9 14 15
Penetrated Low   4 8 8 10 7 5 6 4 6 11 7
Scenario Percentage   67% 73% 73% 83% 58% 56% 50% 80% 67% 79% 47%
Avg Max Decline   17.69% 13.17% 13.76% 10.99% 14.46% 13.95% 8.31% 7.76% 9.87% 11.32% 11.07%
Max Decline   44.19% 48.88% 38.92% 26.88% 38.53% 36.69% 20.43% 12.79% 19.87% 22.71% 21.86%
Avg Days To Max Decline   16 18 16 19 15 15 12 10 17 20 22
Avg Max Increase   -0.35% 0.13% -2.15% -0.63% -2.38% -1.22% -3.44% -0.92% -2.88% -2.44% -1.81%
Max Increase   -2.09% -2.20% -4.96% -11.66% -5.81% -6.19% -8.84% -5.11% -7.24% -10.57% -4.95%
Avg Days to Max Increase   7 7 3 9 10 7 12 6 10 10 5
2013 Contract Condition     Yes Yes   Yes   Yes   Yes Yes Yes
Action     Yes No   No   Yes   No No Not Yet
High 262.67 283.03 288.92 282.75 279.36 279.36 298.95 311.84 305.08 303.51 287.85 290.27
Low 243.94 258.09 268.63 264.13 264.33 267.06 276.50 290.77 287.60 265.08 265.60 267.64
Close/Last 256.59 283.03 276.66 267.51 278.61 278.18 298.62 291.39 300.48 275.66 273.63 271.56

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