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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, 2019
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   14 24 25 27 29 32 34 34 34 34 34
Closed Higher   9 12 14 13 17 24 24 19 17 21 21
Exceeded High   8 11 13 12 16 22 19 16 16 20 17
Scenario Percentage   89% 92% 93% 92% 94% 92% 79% 84% 94% 95% 81%
Avg Max Increase   7.97% 9.49% 8.40% 9.72% 10.84% 10.61% 9.27% 7.62% 11.98% 15.97% 8.70%
Max Increase   13.05% 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   23 18 18 18 19 16 15 19 17 13 15
Avg Max Decline   -2.06% -1.22% -1.16% -3.33% -2.56% -2.80% -2.40% -3.49% -3.72% -2.33% -1.90%
Max Decline   -7.93% -7.74% -7.27% -16.80% -14.34% -9.22% -9.97% -11.36% -16.43% -11.37% -5.71%
Avg Days to Max Decline   13 9 8 9 11 6 8 12 11 9 4
2018 Contract Condition   Yes Yes Yes Yes   Yes Yes Yes Yes   Yes
Action   Yes Yes Yes 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   14 24 25 27 29 32 34 34 34 34 34
Closed Lower   5 12 11 14 12 8 10 15 17 13 13
Penetrated Low   5 10 7 8 3 4 6 9 12 9 6
Scenario Percentage   100% 83% 64% 57% 25% 50% 60% 60% 71% 69% 46%
Avg Max Decline   19.05% 15.19% 14.06% 8.18% 9.03% 7.35% 9.88% 11.10% 10.96% 9.64% 12.05%
Max Decline   39.95% 28.37% 26.11% 15.32% 10.21% 12.54% 23.01% 17.41% 32.55% 21.88% 18.20%
Avg Days To Max Decline   14 18 13 14 20 13 17 16 16 14 18
Avg Max Increase   -1.24% -0.30% -1.62% -1.61% -1.93% -0.83% -3.57% -0.42% -2.22% -1.29% -1.72%
Max Increase   -4.35% -6.92% -4.30% -6.28% -4.60% -5.64% -7.04% -1.46% -7.84% -5.05% -3.71%
Avg Days to Max Increase   7 6 5 3 25 14 16 4 6 4 4
2018 Contract Condition           Yes         Yes  
Action           No         No  
High 158.83 166.88 173.36 178.24 186.26 185.32 187.18 198.02 211.50 202.57 204.04 202.19
Low 150.28 152.00 164.44 166.62 176.30 165.22 168.10 177.40 189.99 185.84 185.93 186.62
Close/Last 155.23 166.26 170.16 177.75 183.31 173.79 184.51 196.04 201.71 201.90 196.60 199.70

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