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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 Oct 20, 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   17 27 28 29 32 32 34 34 34 34 34
Closed Higher   10 12 15 13 17 19 19 26 24 19 16
Exceeded High   7 10 10 12 16 16 19 23 20 15 11
Scenario Percentage   70% 83% 67% 92% 94% 84% 100% 88% 83% 79% 69%
Avg Max Increase   9.93% 7.63% 7.71% 9.91% 9.02% 14.42% 12.40% 10.95% 10.47% 9.67% 8.99%
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   17 14 24 17 19 20 19 15 16 17 16
Avg Max Decline   -0.63% -1.04% -1.99% -0.90% -1.10% -2.83% -2.79% -2.52% -2.60% -5.15% -1.94%
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 4 12 7 8 9 8 6 7 11 4
2019 Contract Condition   Yes Yes       Yes Yes Yes Yes   Yes
Action   Yes Yes       Yes Yes Yes No   Yes
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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   17 27 28 29 32 32 34 34 34 34 34
Closed Lower   7 14 13 15 15 13 15 8 10 15 18
Penetrated Low   5 11 10 13 9 7 7 6 7 12 8
Scenario Percentage   71% 79% 77% 87% 60% 54% 47% 75% 70% 80% 44%
Avg Max Decline   17.07% 12.23% 16.57% 12.81% 15.10% 13.52% 8.79% 7.91% 9.95% 10.88% 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 18 19 14 14 14 7 17 19 22
Avg Max Increase   -0.23% -0.52% -1.72% -1.48% -2.19% -1.07% -2.99% -1.41% -3.48% -2.31% -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 9 4
2019 Contract Condition       Yes Yes Yes         Yes  
Action       Yes Yes No         Yes  
High 209.62 210.75 221.44 228.69 197.85 172.14 167.18 178.27 185.50 203.25 201.12 194.33
Low 194.26 196.50 206.41 197.15 158.57 143.00 146.72 159.35 171.70 183.81 172.58 163.39
Close/Last 203.67 209.70 221.44 197.46 161.85 149.38 159.98 175.54 183.30 199.96 173.92 189.66

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