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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 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   12 24 26 29 29 30 31 32 32 32 32
Closed Higher   4 12 11 15 16 18 25 24 17 16 19
Exceeded High   4 7 10 14 14 17 22 21 15 14 17
Scenario Percentage   100% 58% 91% 93% 88% 94% 88% 88% 88% 88% 89%
Avg Max Increase   7.42% 7.32% 9.21% 9.41% 13.03% 11.83% 10.81% 9.50% 7.61% 13.60% 15.15%
Max Increase   16.67% 11.49% 20.78% 19.30% 30.40% 23.87% 29.60% 39.34% 13.06% 59.71% 77.71%
Avg Days To Max Increase   14 25 17 19 18 19 15 15 16 16 19
Avg Max Decline   -0.95% -1.72% -1.03% -1.02% -3.12% -2.25% -3.03% -2.42% -3.89% -4.17% -1.71%
Max Decline   -1.81% -2.49% -7.53% -7.48% -16.73% -13.47% -9.33% -10.88% -10.39% -15.86% -8.58%
Avg Days to Max Decline   8 12 9 11 9 9 6 7 11 10 5
2016 Contract Condition     Yes         Yes Yes Yes    
Action     No         Yes Yes 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   12 24 26 29 29 30 31 32 32 32 32
Closed Lower   8 12 15 14 13 12 6 8 15 16 13
Penetrated Low   7 10 12 9 7 5 4 6 11 10 8
Scenario Percentage   88% 83% 80% 64% 54% 42% 67% 75% 73% 63% 62%
Avg Max Decline   12.67% 13.67% 13.17% 15.17% 11.96% 9.24% 5.64% 8.48% 10.41% 9.91% 11.33%
Max Decline   48.31% 38.42% 26.77% 38.53% 37.23% 21.49% 10.97% 21.11% 19.59% 20.50% 23.81%
Avg Days To Max Decline   11 16 19 14 15 14 8 16 19 16 17
Avg Max Increase   -1.09% -1.51% -0.38% -1.78% -0.41% -3.28% -0.94% -2.85% -1.80% -3.06% -1.67%
Max Increase   -6.16% -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 6 5 4 14 9 16 9 6 4
2016 Contract Condition   Yes   Yes Yes Yes Yes       Yes Yes
Action   Yes   Yes Yes Yes No       Yes Not Yet
High 169.10 164.50 165.15 164.20 156.41 150.00 131.90 147.57 158.48 163.41 163.44 153.21
Low 142.73 152.14 152.23 145.30 137.97 118.08 111.71 128.26 132.78 142.95 147.34 127.26
Close/Last 169.10 155.56 160.12 151.46 145.16 131.08 130.87 141.18 157.03 159.71 150.74 131.94

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