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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, 2016
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   13 23 24 25 28 28 30 30 30 30 30
Closed Higher   6 9 12 11 15 17 18 23 21 16 15
Exceeded High   4 7 8 10 14 15 18 20 18 14 10
Scenario Percentage   67% 78% 67% 91% 93% 88% 100% 87% 86% 88% 67%
Avg Max Increase   9.36% 8.05% 7.12% 9.88% 9.84% 14.32% 12.22% 10.63% 11.01% 9.92% 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% -2.83% -2.42% -2.20% -4.64% -1.96%
Max Decline   -2.71% -6.20% -3.08% -7.68% -7.85% -16.59% -13.61% -7.23% -12.59% -11.35% -4.69%
Avg Days to Max Decline   6 6 13 7 9 9 9 6 8 10 4
2015 Contract Condition               Yes   Yes Yes Yes
Action               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   13 23 24 25 28 28 30 30 30 30 30
Closed Lower   7 13 12 13 13 11 12 7 9 14 15
Penetrated Low   5 10 9 11 8 5 6 5 6 11 7
Scenario Percentage   71% 77% 75% 85% 62% 45% 50% 71% 67% 79% 47%
Avg Max Decline   17.07% 12.78% 15.35% 12.14% 14.08% 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 17 17 19 15 15 12 8 17 20 22
Avg Max Increase   -0.23% 0.03% -1.88% -0.86% -2.04% -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   6 6 3 8 9 7 12 5 10 10 5
2015 Contract Condition   Yes Yes Yes Yes Yes Yes   Yes      
Action   Yes Yes Yes Yes Yes No   No      
High 281.30 273.43 268.53 256.93 234.17 206.73 172.22 191.70 191.74 201.08 206.37 213.71
Low 273.79 266.00 253.80 229.83 200.27 168.98 153.00 166.95 165.38 170.09 189.80 192.10
Close/Last 274.30 269.14 254.66 234.79 200.27 172.75 170.05 191.44 172.89 200.70 202.92 204.94

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