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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, 2015
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   10 20 21 23 25 28 30 30 30 30 30
Closed Higher   6 10 12 12 16 22 21 15 16 20 18
Exceeded High   6 9 11 11 15 20 16 13 15 19 14
Scenario Percentage   100% 90% 92% 92% 94% 91% 76% 87% 94% 95% 78%
Avg Max Increase   7.25% 9.37% 9.32% 10.42% 11.29% 10.04% 9.89% 8.26% 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   21 19 19 18 18 16 15 19 17 15 16
Avg Max Decline   -1.24% -1.30% -1.11% -2.74% -1.77% -2.56% -1.70% -2.81% -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   15 10 9 9 10 6 7 12 12 9 5
2014 Contract Condition   Yes Yes Yes   Yes   Yes Yes Yes    
Action   Yes Yes Yes   Yes   Yes Yes No    
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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   10 20 21 23 25 28 30 30 30 30 30
Closed Lower   4 10 9 11 9 6 9 15 14 10 12
Penetrated Low   4 8 5 6 2 3 5 9 10 8 6
Scenario Percentage   100% 80% 56% 55% 22% 50% 56% 60% 71% 80% 50%
Avg Max Decline   16.66% 12.87% 12.30% 6.65% 8.43% 5.62% 9.84% 11.10% 8.34% 8.11% 12.07%
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 16 17 16 14 13 18
Avg Max Increase   -1.63% 0.53% -1.58% -1.92% -2.43% 0.77% -2.88% -0.42% -2.48% -1.51% -1.72%
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 15 14 4 7 4 4
2014 Contract Condition         Yes   Yes       Yes Yes
Action         No   Yes       Yes Yes
High 263.10 259.49 263.27 269.22 263.25 270.23 271.64 275.10 276.78 289.69 284.57 266.34
Low 249.32 246.46 248.98 259.06 252.20 252.48 257.71 257.42 263.45 268.34 263.78 251.86
Close/Last 249.52 255.51 260.78 265.54 254.07 267.09 266.20 267.91 272.49 283.66 265.50 262.29

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