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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 Dec 30, 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   14 24 25 26 29 29 31 31 31 31 31
Closed Higher   7 9 13 11 15 17 18 24 22 17 15
Exceeded High   4 7 8 10 14 15 18 21 19 14 10
Scenario Percentage   57% 78% 62% 91% 93% 88% 100% 88% 86% 82% 67%
Avg Max Increase   9.36% 8.05% 7.12% 9.88% 9.84% 14.32% 12.22% 10.84% 10.64% 9.16% 8.33%
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 15 16 16 14
Avg Max Decline   0.20% -1.45% -1.39% -0.92% -1.05% -2.99% -2.83% -2.59% -2.57% -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
2016 Contract Condition   Yes   Yes         Yes Yes Yes  
Action   No   No         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   14 24 25 26 29 29 31 31 31 31 31
Closed Lower   7 14 12 14 14 12 13 7 9 14 16
Penetrated Low   5 11 9 12 9 6 6 5 6 11 8
Scenario Percentage   71% 79% 75% 86% 64% 50% 46% 71% 67% 79% 50%
Avg Max Decline   17.07% 12.23% 15.35% 12.91% 15.10% 14.12% 8.31% 6.86% 9.87% 11.18% 11.15%
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 14 14 12 8 17 19 22
Avg Max Increase   -0.23% -0.52% -1.88% -1.07% -2.19% -0.89% -3.44% -0.69% -2.88% -2.44% -1.79%
Max Increase   -2.09% -5.94% -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 7 8 6 12 5 10 10 4
2016 Contract Condition     Yes   Yes Yes Yes Yes       Yes
Action     Yes   Yes Yes Yes No       Yes
High 187.30 171.12 165.00 167.19 167.18 159.23 153.18 134.56 151.07 160.97 165.91 164.27
Low 168.91 145.05 154.52 154.03 147.25 140.63 121.22 113.66 130.75 135.47 144.71 147.23
Close/Last 169.20 171.12 157.82 162.49 154.08 148.11 133.67 133.55 144.13 159.63 161.24 150.13

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