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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, 2019
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   16 26 27 28 31 31 33 33 33 33 33
Closed Higher   9 11 15 13 17 18 18 25 23 19 15
Exceeded High   6 9 10 12 16 15 18 22 20 15 10
Scenario Percentage   67% 82% 67% 92% 94% 83% 100% 88% 87% 79% 67%
Avg Max Increase   10.08% 8.12% 7.71% 9.91% 9.02% 14.32% 12.22% 10.95% 10.47% 9.67% 9.15%
Max Increase   27.22% 17.17% 13.02% 20.89% 20.34% 33.07% 26.78% 30.63% 41.22% 16.94% 18.79%
Avg Days To Max Increase   20 15 24 17 19 20 19 15 16 17 16
Avg Max Decline   -0.47% -1.17% -1.99% -0.90% -1.10% -2.99% -2.83% -2.65% -2.60% -5.15% -1.96%
Max Decline   -2.71% -6.20% -7.66% -7.68% -7.85% -16.59% -13.61% -7.23% -12.59% -12.28% -4.69%
Avg Days to Max Decline   4 5 12 7 8 9 9 6 7 11 4
2018 Contract Condition   Yes Yes Yes Yes Yes Yes   Yes Yes Yes  
Action   Yes Yes Yes Yes Yes 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   16 26 27 28 31 31 33 33 33 33 33
Closed Lower   7 14 12 14 14 13 15 8 10 14 18
Penetrated Low   5 11 9 12 9 7 7 6 7 11 8
Scenario Percentage   71% 79% 75% 86% 64% 54% 47% 75% 70% 79% 44%
Avg Max Decline   17.07% 12.23% 15.35% 12.91% 15.10% 13.52% 8.79% 7.91% 9.95% 11.32% 11.56%
Max Decline   44.19% 48.88% 38.92% 26.88% 38.53% 36.69% 20.43% 13.15% 19.87% 22.71% 21.86%
Avg Days To Max Decline   16 17 17 19 14 14 14 7 17 20 22
Avg Max Increase   -0.23% -0.52% -1.88% -1.07% -2.19% -1.07% -2.99% -1.41% -3.48% -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 16 6 12 10 4
2018 Contract Condition               Yes       Yes
Action               No       Not Yet
High 165.26 166.29 174.85 183.35 190.22 195.62 204.05 203.11 203.44 213.26 226.86 216.35
Low 151.00 157.79 164.45 168.86 180.56 182.24 193.27 181.14 184.00 192.40 204.64 198.35
Close/Last 165.26 166.29 171.10 182.66 185.93 195.05 200.94 190.25 200.34 211.27 215.28 215.12

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