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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 07, 2022
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   18 30 32 35 35 36 37 38 38 38 38
Closed Higher   9 16 15 20 20 22 29 29 22 19 22
Exceeded High   9 10 14 19 18 20 26 25 19 17 19
Scenario Percentage   100% 63% 93% 95% 90% 91% 90% 86% 86% 89% 86%
Avg Max Increase   7.50% 8.36% 10.30% 10.41% 14.43% 12.55% 11.72% 12.02% 8.53% 13.21% 14.40%
Max Increase   16.67% 13.18% 20.78% 26.77% 32.51% 23.87% 29.60% 56.49% 19.80% 59.71% 77.71%
Avg Days To Max Increase   17 26 17 18 18 19 16 16 17 17 20
Avg Max Decline   -0.73% -2.05% -1.01% -1.13% -3.05% -2.08% -2.83% -2.52% -3.94% -4.41% -2.71%
Max Decline   -2.63% -7.54% -7.53% -7.48% -16.73% -13.47% -9.33% -10.88% -12.09% -15.86% -14.12%
Avg Days to Max Decline   4 10 7 9 8 8 6 7 12 13 6
2022 Contract Condition   Yes Yes   Yes Yes Yes Yes Yes Yes    
Action   Yes No   Yes Yes Yes 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   18 30 32 35 35 36 37 38 38 38 38
Closed Lower   9 14 17 15 15 14 8 9 16 19 16
Penetrated Low   8 12 14 9 9 6 6 7 12 11 10
Scenario Percentage   89% 86% 82% 60% 60% 43% 75% 78% 75% 58% 63%
Avg Max Decline   12.60% 13.87% 12.31% 15.17% 16.88% 16.72% 8.97% 8.78% 10.04% 10.98% 11.04%
Max Decline   48.31% 38.42% 26.77% 38.53% 58.49% 54.12% 18.42% 21.11% 19.59% 21.63% 23.81%
Avg Days To Max Decline   9 15 19 14 16 16 10 17 18 17 18
Avg Max Increase   -1.14% -1.46% -1.10% -1.78% -1.31% -3.85% -4.23% -3.44% -1.73% -3.28% -1.55%
Max Increase   -6.16% -5.28% -6.80% -5.91% -6.86% -8.64% -16.58% -7.50% -9.98% -9.82% -5.05%
Avg Days to Max Increase   4 4 6 5 6 12 9 17 8 6 4
2022 Contract Condition       Yes             Yes Yes
Action       Yes             Yes Yes
High 204.77 217.25 235.58 230.36 227.74 250.00 280.86 328.21 322.20 369.60 392.53 358.72
Low 185.09 202.10 216.82 194.50 192.30 220.90 244.26 262.10 281.59 307.94 334.35 288.90
Close/Last 203.65 215.56 226.78 197.55 221.58 247.68 266.82 287.25 316.07 357.15 340.19 311.32

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