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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October RBOB Gasoline(NYM) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   9 19 20 22 24 27 29 29 29 29 29
Closed Higher   5 9 11 12 15 22 20 14 15 20 18
Exceeded High   5 8 10 11 14 20 15 12 15 19 14
Scenario Percentage   100% 89% 91% 92% 93% 91% 75% 86% 100% 95% 78%
Avg Max Increase   7.63% 10.14% 10.08% 10.42% 11.88% 10.04% 10.00% 8.42% 12.71% 16.72% 10.26%
Max Increase   11.40% 20.39% 19.77% 21.39% 23.01% 29.75% 39.07% 13.59% 55.16% 77.28% 23.35%
Avg Days To Max Increase   19 18 19 18 18 16 14 19 17 15 16
Avg Max Decline   -0.97% -1.38% -0.72% -2.74% -1.64% -2.56% -1.70% -2.92% -3.77% -2.08% -1.38%
Max Decline   -3.21% -7.74% -7.27% -16.80% -6.42% -9.22% -9.97% -6.60% -16.43% -11.37% -5.71%
Avg Days to Max Decline   17 10 9 9 9 6 8 13 12 9 5
2013 Contract Condition     Yes Yes Yes   Yes   Yes Yes Yes Yes
Action     Yes Yes Yes   No   Yes Yes 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   9 19 20 22 24 27 29 29 29 29 29
Closed Lower   4 10 9 10 9 5 9 15 14 9 11
Penetrated Low   4 8 5 6 2 2 5 9 10 7 5
Scenario Percentage   100% 80% 56% 60% 22% 40% 56% 60% 71% 78% 45%
Avg Max Decline   16.66% 12.87% 12.30% 6.65% 8.43% 6.78% 9.84% 11.10% 8.34% 8.40% 13.51%
Max Decline   39.95% 28.37% 26.11% 10.58% 8.53% 9.93% 23.01% 17.41% 20.74% 21.75% 18.20%
Avg Days To Max Decline   10 19 14 15 17 24 17 16 14 12 19
Avg Max Increase   -1.63% 0.53% -1.58% -1.92% -2.43% 0.99% -2.88% -0.42% -2.48% -1.68% -1.97%
Max Increase   -4.35% -6.92% -4.30% -6.28% -4.60% -0.66% -7.04% -1.46% -7.84% -5.05% -3.71%
Avg Days to Max Increase   9 7 6 3 17 23 14 4 7 3 4
2013 Contract Condition   Yes       Yes   Yes        
Action   Yes       Yes   No        
High 269.92 263.44 260.40 261.17 276.68 288.88 281.50 281.50 269.87 274.60 292.01 298.21
Low 250.32 246.78 246.31 250.30 259.91 268.82 265.21 246.68 248.36 254.71 257.55 269.93
Close/Last 258.14 249.54 260.08 260.19 276.68 269.11 279.35 257.42 257.50 258.35 284.63 289.01

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