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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 21, 2022
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   17 27 28 30 32 35 37 37 37 37 37
Closed Higher   10 14 16 15 19 26 27 21 20 23 22
Exceeded High   9 13 15 14 18 24 21 18 19 21 17
Scenario Percentage   90% 93% 94% 93% 95% 92% 78% 86% 95% 91% 77%
Avg Max Increase   8.48% 10.37% 9.40% 11.48% 11.06% 10.75% 11.82% 8.50% 11.58% 15.92% 9.49%
Max Increase   13.05% 20.39% 26.35% 28.07% 23.01% 29.75% 57.39% 19.90% 55.16% 77.28% 23.35%
Avg Days To Max Increase   23 18 18 18 20 17 16 20 18 15 17
Avg Max Decline   -1.72% -1.21% -1.27% -2.89% -2.53% -2.61% -2.52% -3.39% -4.05% -2.92% -1.92%
Max Decline   -7.93% -7.74% -7.27% -16.80% -14.34% -9.22% -9.97% -11.36% -16.43% -14.72% -5.71%
Avg Days to Max Decline   12 8 8 8 10 6 8 13 14 10 5
2021 Contract Condition     Yes Yes Yes Yes Yes Yes Yes Yes Yes  
Action     Yes Yes Yes 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   17 27 28 30 32 35 37 37 37 37 37
Closed Lower   7 13 12 15 13 9 10 16 17 14 15
Penetrated Low   7 11 7 9 4 5 6 10 12 9 7
Scenario Percentage   100% 85% 58% 60% 31% 56% 60% 63% 71% 64% 47%
Avg Max Decline   18.21% 14.94% 14.06% 13.62% 20.26% 9.88% 9.88% 10.61% 10.96% 9.64% 11.11%
Max Decline   39.95% 28.37% 26.11% 57.16% 53.94% 20.02% 23.01% 17.41% 32.55% 21.88% 18.20%
Avg Days To Max Decline   14 19 13 15 21 15 17 15 16 14 16
Avg Max Increase   -1.25% -0.91% -1.62% -2.25% -3.14% -4.08% -3.57% -0.47% -2.22% -1.29% -1.48%
Max Increase   -4.35% -6.99% -4.30% -7.35% -6.77% -17.06% -7.04% -1.46% -7.84% -5.05% -3.71%
Avg Days to Max Increase   6 6 5 5 20 12 16 4 6 4 4
2021 Contract Condition   Yes                   Yes
Action   Yes                   Not Yet
High 126.97 124.94 130.15 139.79 151.71 176.15 189.50 191.60 201.55 214.86 220.49 221.17
Low 116.48 108.12 106.92 127.00 136.55 147.50 167.60 173.00 185.45 198.14 193.12 187.26
Close/Last 121.95 110.36 129.20 139.41 147.97 171.55 175.66 187.48 198.41 209.92 219.58 214.19

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