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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 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   15 27 29 32 32 33 34 35 35 35 35
Closed Higher   7 14 13 17 18 20 27 26 19 17 21
Exceeded High   7 9 12 16 16 18 24 22 16 15 18
Scenario Percentage   100% 64% 92% 94% 89% 90% 89% 85% 84% 88% 86%
Avg Max Increase   7.03% 7.98% 9.35% 8.63% 12.50% 12.01% 10.90% 9.41% 7.57% 11.21% 13.46%
Max Increase   16.67% 13.18% 20.78% 19.30% 30.40% 23.87% 29.60% 39.34% 13.06% 38.03% 77.71%
Avg Days To Max Increase   15 26 17 18 19 19 16 16 17 15 19
Avg Max Decline   -0.64% -2.29% -1.00% -1.07% -3.34% -2.24% -2.92% -2.44% -4.40% -4.04% -2.08%
Max Decline   -1.81% -7.54% -7.53% -7.48% -16.73% -13.47% -9.33% -10.88% -12.09% -15.86% -8.58%
Avg Days to Max Decline   5 11 8 10 9 8 6 7 12 9 5
2019 Contract Condition   Yes       Yes Yes Yes Yes   Yes Yes
Action   Yes       Yes Yes Yes No   Yes Not Yet
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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   15 27 29 32 32 33 34 35 35 35 35
Closed Lower   8 13 16 15 14 13 7 9 16 18 14
Penetrated Low   7 11 13 9 8 5 5 7 12 10 9
Scenario Percentage   88% 85% 81% 60% 57% 38% 71% 78% 75% 56% 64%
Avg Max Decline   12.67% 14.94% 13.06% 15.17% 11.68% 9.24% 7.08% 8.78% 10.04% 9.91% 10.67%
Max Decline   48.31% 38.42% 26.77% 38.53% 37.23% 21.49% 12.85% 21.11% 19.59% 20.50% 23.81%
Avg Days To Max Decline   11 17 20 14 15 14 7 17 18 16 17
Avg Max Increase   -1.09% -1.39% -0.88% -1.78% -0.62% -3.28% -1.76% -3.44% -1.73% -3.06% -1.62%
Max Increase   -6.16% -5.28% -6.80% -5.91% -6.05% -8.64% -5.04% -7.50% -9.98% -9.82% -5.05%
Avg Days to Max Increase   3 4 6 5 4 14 9 17 8 6 4
2019 Contract Condition     Yes Yes Yes         Yes    
Action     Yes Yes No         Yes    
High 207.95 218.89 225.97 195.44 170.80 165.40 176.38 183.06 199.81 197.16 189.32 197.13
Low 193.78 204.33 195.04 156.48 141.29 144.85 157.91 169.81 181.66 169.36 160.52 177.36
Close/Last 206.95 218.76 195.12 159.92 147.68 158.21 173.58 180.94 196.47 170.70 185.41 186.28

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