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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 Jun 08, 2020
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   16 25 27 29 33 34 34 35 35 35 35
Closed Higher   9 13 13 18 24 25 16 16 22 21 18
Exceeded High   8 11 12 18 22 21 13 15 20 20 13
Scenario Percentage   89% 85% 92% 100% 92% 84% 81% 94% 91% 95% 72%
Avg Max Increase   10.47% 8.42% 10.60% 9.79% 10.17% 8.56% 7.54% 10.47% 12.93% 10.91% 7.67%
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   17 18 19 18 16 15 20 17 18 19 17
Avg Max Decline   -0.80% -1.01% -3.35% -2.32% -2.71% -2.16% -3.07% -3.19% -2.86% -4.32% -2.10%
Max Decline   -7.75% -7.21% -16.67% -14.14% -9.73% -9.50% -11.14% -16.10% -14.39% -14.50% -5.70%
Avg Days to Max Decline   10 9 9 9 5 7 11 9 8 13 2
2019 Contract Condition       Yes Yes Yes Yes   Yes Yes   Yes
Action       Yes Yes Yes No   Yes Yes   Not Yet
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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   16 25 27 29 33 34 34 35 35 35 35
Closed Lower   7 12 14 11 9 9 18 19 13 14 17
Penetrated Low   6 6 9 3 5 5 12 13 8 6 13
Scenario Percentage   86% 50% 64% 27% 56% 56% 67% 68% 62% 43% 76%
Avg Max Decline   19.92% 15.69% 7.18% 8.67% 6.89% 10.38% 10.00% 9.89% 11.58% 19.51% 10.09%
Max Decline   28.08% 26.63% 14.77% 9.90% 11.81% 22.90% 17.26% 32.27% 24.70% 49.55% 42.21%
Avg Days To Max Decline   21 14 12 16 14 21 16 17 17 21 17
Avg Max Increase   -1.67% -0.61% -1.20% -1.42% -1.24% -3.88% -0.76% -2.59% -3.64% -1.58% -2.99%
Max Increase   -7.10% -4.68% -5.77% -4.80% -5.72% -6.99% -2.95% -8.77% -19.85% -3.97% -6.24%
Avg Days to Max Increase   3 6 4 11 12 12 6 9 12 6 5
2019 Contract Condition   Yes Yes         Yes     Yes  
Action   Yes No         Yes     No  
High 209.68 177.87 156.43 152.07 162.64 167.95 181.50 178.47 168.27 174.75 165.08 175.26
Low 181.01 144.13 128.68 132.48 145.09 156.16 166.49 151.50 143.42 157.40 142.81 143.10
Close/Last 181.01 146.06 134.52 145.21 159.94 165.61 178.24 152.83 165.65 166.82 150.28 156.65

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