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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, 2015
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   12 22 23 24 27 27 29 29 29 29 29
Closed Higher   6 9 12 11 15 17 17 23 20 15 14
Exceeded High   4 7 8 10 14 15 17 20 17 13 10
Scenario Percentage   67% 78% 67% 91% 93% 88% 100% 87% 85% 87% 71%
Avg Max Increase   9.36% 8.05% 7.12% 9.88% 9.84% 14.32% 12.64% 10.63% 11.27% 10.28% 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 23 18 20 20 19 14 15 16 16
Avg Max Decline   0.20% -1.45% -1.39% -0.92% -1.05% -2.99% -2.19% -2.42% -2.01% -4.58% -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 13 7 9 9 8 6 7 10 4
2014 Contract Condition   Yes   Yes Yes Yes   Yes   Yes Yes Yes
Action   No   Yes Yes Yes   Yes   Yes Yes Not Yet
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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   12 22 23 24 27 27 29 29 29 29 29
Closed Lower   6 12 11 12 12 10 12 6 9 14 15
Penetrated Low   4 9 8 10 7 5 6 5 6 11 7
Scenario Percentage   67% 75% 73% 83% 58% 50% 50% 83% 67% 79% 47%
Avg Max Decline   17.69% 11.83% 13.76% 10.99% 14.46% 13.95% 8.31% 6.86% 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 16 16 19 15 15 12 8 17 20 22
Avg Max Increase   -0.35% 0.13% -2.15% -0.63% -2.38% -1.22% -3.44% -0.69% -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 5 10 10 5
2014 Contract Condition     Yes       Yes   Yes      
Action     Yes       No   Yes      
High 277.30 288.01 282.65 277.34 282.13 288.61 282.54 290.58 291.86 296.94 297.84 311.93
Low 265.71 270.73 265.00 263.49 265.00 276.60 269.95 270.37 276.44 275.63 282.44 288.87
Close/Last 277.30 282.05 266.49 271.99 278.79 285.42 272.69 286.36 284.88 288.79 293.78 304.33

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