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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 27, 2023
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   19 31 33 36 36 37 38 39 39 39 39
Closed Higher   9 17 16 21 21 22 29 29 22 20 23
Exceeded High   9 11 15 20 18 20 26 25 19 18 20
Scenario Percentage   100% 65% 94% 95% 86% 91% 90% 86% 86% 90% 87%
Avg Max Increase   7.50% 8.18% 9.99% 10.15% 14.43% 12.55% 11.72% 12.02% 8.53% 13.65% 13.84%
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 24 17 19 18 19 16 16 17 17 20
Avg Max Decline   -0.73% -1.71% -1.69% -1.45% -3.05% -2.08% -2.83% -2.52% -3.94% -4.33% -2.89%
Max Decline   -2.63% -7.54% -11.27% -7.57% -16.73% -13.47% -9.33% -10.88% -12.09% -15.86% -14.12%
Avg Days to Max Decline   4 9 7 9 8 8 6 7 12 13 6
2023 Contract Condition     Yes Yes Yes Yes         Yes Yes
Action     Yes Yes Yes No         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   19 31 33 36 36 37 38 39 39 39 39
Closed Lower   10 14 17 15 15 15 9 10 17 19 16
Penetrated Low   8 12 14 9 9 7 7 8 12 11 10
Scenario Percentage   80% 86% 82% 60% 60% 47% 78% 80% 71% 58% 63%
Avg Max Decline   12.60% 13.87% 12.31% 15.17% 16.88% 15.89% 9.50% 8.97% 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 9 15 18 17 18
Avg Max Increase   -1.14% -1.46% -1.10% -1.78% -1.31% -4.09% -4.66% -3.07% -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 10 15 8 6 4
2023 Contract Condition   Yes         Yes Yes Yes Yes    
Action   No         Yes Yes Yes No    
High 257.95 245.92 252.25 259.83 250.10 260.86 253.16 260.76 263.89 247.36 250.85 292.57
Low 237.34 221.20 231.55 232.44 219.10 229.17 230.26 220.09 234.08 215.00 227.76 238.92
Close/Last 238.82 226.01 244.12 246.94 247.93 251.25 247.10 246.16 239.82 230.84 246.25 289.55

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