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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December 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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   10 21 23 25 27 29 29 29 29 29 29
Closed Higher   5 10 14 18 18 12 13 20 16 16 15
Exceeded High   5 9 13 16 16 9 13 18 14 13 7
Scenario Percentage   100% 90% 93% 89% 89% 75% 100% 90% 88% 81% 47%
Avg Max Increase   10.77% 11.94% 10.13% 8.98% 8.97% 8.90% 10.57% 12.33% 10.39% 9.05% 8.04%
Max Increase   17.43% 22.03% 21.85% 27.32% 35.93% 15.46% 33.82% 68.80% 31.54% 21.87% 16.31%
Avg Days To Max Increase   22 14 17 13 15 20 18 17 19 14 13
Avg Max Decline   -1.42% -2.99% -1.84% -2.89% -1.78% -2.56% -3.21% -1.87% -3.57% -2.74% -1.80%
Max Decline   -7.37% -17.20% -5.42% -9.08% -8.98% -5.66% -15.76% -9.35% -13.09% -14.62% -4.35%
Avg Days to Max Decline   8 7 9 5 8 16 10 8 11 4 2
2013 Contract Condition     Yes   Yes     Yes Yes Yes    
Action     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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   10 21 23 25 27 29 29 29 29 29 29
Closed Lower   5 10 9 7 9 17 16 9 13 13 14
Penetrated Low   2 6 3 3 5 10 10 7 7 11 10
Scenario Percentage   40% 60% 33% 43% 56% 59% 63% 78% 54% 85% 71%
Avg Max Decline   19.05% 6.79% 11.62% 6.55% 9.42% 8.80% 7.14% 9.17% 17.54% 13.07% 12.02%
Max Decline   26.89% 11.17% 18.56% 9.10% 22.73% 13.77% 16.11% 25.87% 50.85% 59.61% 34.02%
Avg Days To Max Decline   12 15 22 21 19 16 18 16 16 13 18
Avg Max Increase   -3.33% -1.58% -3.00% -0.25% -2.55% -0.83% -2.87% -4.00% -1.57% -2.53% -3.15%
Max Increase   -4.70% -5.94% -4.95% -2.10% -6.92% -3.88% -8.91% -15.40% -3.78% -6.53% -8.54%
Avg Days to Max Increase   12 10 17 16 6 5 9 15 8 6 3
2013 Contract Condition   Yes   Yes   Yes Yes       Yes Yes
Action   No   Yes   No No       Yes Yes
High 256.65 258.40 269.50 279.95 272.45 273.71 265.12 268.73 281.43 290.32 284.31 270.63
Low 240.88 245.73 252.31 259.89 257.00 241.60 244.50 250.54 253.68 263.80 258.63 252.96
Close/Last 256.06 254.44 269.06 260.79 272.02 253.47 252.78 254.29 276.31 282.47 261.07 258.70

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