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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   10 22 24 27 27 28 29 30 30 30 30
Closed Higher   4 11 11 15 16 17 24 22 15 15 19
Exceeded High   4 7 10 14 14 16 21 19 13 14 17
Scenario Percentage   100% 64% 91% 93% 88% 94% 88% 86% 87% 93% 89%
Avg Max Increase   7.42% 7.32% 9.21% 9.41% 13.03% 12.26% 10.57% 10.00% 8.24% 10.96% 13.21%
Max Increase   16.67% 11.49% 20.78% 19.30% 30.40% 23.87% 29.60% 39.34% 13.06% 34.67% 77.71%
Avg Days To Max Increase   14 25 17 19 18 19 15 16 16 14 18
Avg Max Decline   -0.95% -1.72% -1.03% -1.02% -3.12% -1.55% -2.89% -1.90% -3.91% -4.17% -1.71%
Max Decline   -1.81% -2.49% -7.53% -7.48% -16.73% -5.52% -9.33% -10.88% -10.39% -15.86% -8.58%
Avg Days to Max Decline   8 12 9 11 9 8 6 6 12 10 5
2014 Contract Condition     Yes Yes Yes   Yes   Yes Yes Yes  
Action     Yes Yes Yes   Yes   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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   10 22 24 27 27 28 29 30 30 30 30
Closed Lower   6 11 13 12 11 11 5 8 15 15 11
Penetrated Low   5 9 10 7 6 5 4 6 11 9 7
Scenario Percentage   83% 82% 77% 58% 55% 45% 80% 75% 73% 60% 64%
Avg Max Decline   12.07% 12.04% 11.23% 14.50% 11.49% 9.24% 5.64% 8.48% 10.41% 9.28% 9.45%
Max Decline   48.31% 38.42% 26.77% 38.53% 37.23% 21.49% 10.97% 21.11% 19.59% 20.50% 22.32%
Avg Days To Max Decline   6 14 20 15 16 14 8 16 19 14 15
Avg Max Increase   -0.12% -1.71% 0.14% -1.86% -0.61% -3.28% -0.94% -2.85% -1.80% -3.22% -1.91%
Max Increase   -2.00% -5.28% -6.38% -5.91% -6.05% -8.64% -4.73% -7.50% -9.98% -9.82% -5.05%
Avg Days to Max Increase   3 5 8 6 5 14 9 16 9 7 3
2014 Contract Condition   Yes       Yes   Yes       Yes
Action   Yes       Yes   Yes       Yes
High 283.61 278.15 273.09 277.49 284.70 278.16 285.81 287.75 291.95 293.17 307.29 301.59
Low 266.83 262.92 259.92 262.25 272.30 266.35 266.07 272.73 272.12 278.78 284.68 278.00
Close/Last 277.62 262.92 268.96 274.84 281.02 268.47 281.84 281.07 284.24 289.22 300.55 279.75

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