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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   10 19 21 23 27 28 28 29 29 29 29
Closed Higher   6 10 11 15 21 20 12 13 20 18 15
Exceeded High   5 9 10 15 19 17 10 13 18 17 11
Scenario Percentage   83% 90% 91% 100% 90% 85% 83% 100% 90% 94% 73%
Avg Max Increase   12.23% 9.52% 10.94% 10.40% 9.54% 9.01% 8.09% 11.58% 13.52% 10.74% 8.32%
Max Increase   20.71% 17.79% 21.12% 21.93% 28.31% 37.88% 14.84% 40.62% 71.91% 29.31% 15.24%
Avg Days To Max Increase   21 18 18 17 15 16 20 18 18 19 19
Avg Max Decline   -1.31% -0.94% -3.03% -1.47% -2.62% -1.81% -2.51% -3.26% -2.00% -4.36% -2.33%
Max Decline   -7.75% -7.21% -16.67% -6.02% -9.73% -9.50% -6.04% -16.10% -9.62% -14.50% -5.70%
Avg Days to Max Decline   13 10 9 8 6 8 12 10 8 12 2
2013 Contract Condition   Yes   Yes   Yes     Yes Yes Yes  
Action   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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   10 19 21 23 27 28 28 29 29 29 29
Closed Lower   4 9 10 8 6 8 16 16 9 11 14
Penetrated Low   3 4 6 2 3 4 10 11 6 5 10
Scenario Percentage   75% 44% 60% 25% 50% 50% 63% 69% 67% 45% 71%
Avg Max Decline   19.26% 14.46% 6.55% 8.06% 6.51% 10.47% 9.65% 7.40% 10.69% 19.88% 10.65%
Max Decline   28.08% 26.63% 10.55% 8.40% 9.60% 22.90% 15.05% 17.36% 24.70% 49.55% 42.21%
Avg Days To Max Decline   24 15 15 17 21 21 16 15 14 20 17
Avg Max Increase   0.95% -0.81% -1.72% -2.24% -0.27% -3.10% -0.54% -2.88% -4.87% -1.85% -2.76%
Max Increase   -2.56% -4.68% -5.77% -4.80% -1.88% -6.96% -1.64% -8.77% -19.85% -3.97% -6.24%
Avg Days to Max Increase   4 8 4 17 16 9 6 10 14 7 5
2013 Contract Condition     Yes   Yes   Yes Yes       Yes
Action     No   Yes   No No       Yes
High 259.95 258.29 259.00 272.51 283.74 275.43 276.80 266.92 271.10 285.70 293.50 286.67
Low 245.15 243.37 247.48 254.40 263.53 260.06 243.73 245.79 252.22 255.17 266.57 260.06
Close/Last 246.51 257.32 256.78 272.08 264.11 274.84 254.88 254.67 255.85 279.79 285.33 262.82

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