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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, 2015
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   11 20 22 24 28 29 29 30 30 30 30
Closed Higher   7 11 11 16 21 21 13 14 20 18 15
Exceeded High   6 9 10 16 19 18 11 13 18 17 11
Scenario Percentage   86% 82% 91% 100% 90% 86% 85% 93% 90% 94% 73%
Avg Max Increase   10.69% 9.52% 10.94% 9.92% 9.54% 8.96% 7.94% 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   18 18 18 17 15 16 20 18 18 19 19
Avg Max Decline   -0.84% -0.94% -3.03% -1.58% -2.62% -1.78% -2.42% -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   11 10 9 9 6 8 11 10 8 12 2
2014 Contract Condition   Yes Yes   Yes   Yes Yes Yes      
Action   Yes No   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   11 20 22 24 28 29 29 30 30 30 30
Closed Lower   4 9 11 8 7 8 16 16 10 12 15
Penetrated Low   3 4 7 2 4 4 10 11 7 6 11
Scenario Percentage   75% 44% 64% 25% 57% 50% 63% 69% 70% 50% 73%
Avg Max Decline   19.26% 14.46% 5.69% 8.06% 5.66% 10.47% 9.65% 7.40% 10.28% 19.51% 10.83%
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 13 17 16 21 16 15 16 21 18
Avg Max Increase   0.95% -0.81% -1.47% -2.24% -0.13% -3.10% -0.54% -2.88% -4.23% -1.58% -2.75%
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 12 9 6 10 13 6 5
2014 Contract Condition       Yes   Yes       Yes Yes Yes
Action       Yes   Yes       Yes Yes Yes
High 256.30 260.25 265.82 255.75 265.18 268.85 270.24 271.90 284.85 280.00 263.76 259.33
Low 244.15 245.67 256.46 249.18 248.72 254.71 254.10 259.57 263.80 261.13 249.86 242.09
Close/Last 252.61 258.13 261.82 249.99 262.88 262.28 263.27 267.69 278.97 262.70 258.70 243.73

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