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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, 2015
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   11 22 24 26 28 30 30 30 30 30 30
Closed Higher   6 10 15 18 19 13 14 20 16 16 15
Exceeded High   5 9 14 16 17 10 13 18 14 13 7
Scenario Percentage   83% 90% 93% 89% 89% 77% 93% 90% 88% 81% 47%
Avg Max Increase   10.77% 11.94% 9.59% 8.98% 8.91% 8.63% 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 16 20 18 17 19 14 13
Avg Max Decline   -1.42% -2.99% -1.94% -2.89% -1.75% -2.44% -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 10 5 8 15 10 8 11 4 2
2014 Contract Condition   Yes   Yes   Yes Yes Yes        
Action   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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   11 22 24 26 28 30 30 30 30 30 30
Closed Lower   5 11 9 8 9 17 16 10 14 14 15
Penetrated Low   2 7 3 4 5 10 10 8 8 12 11
Scenario Percentage   40% 64% 33% 50% 56% 59% 63% 80% 57% 86% 73%
Avg Max Decline   19.05% 5.93% 11.62% 5.68% 9.42% 8.80% 7.14% 9.17% 17.72% 13.37% 11.32%
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 13 22 16 19 16 18 17 16 13 15
Avg Max Increase   -3.33% -1.44% -3.00% -0.13% -2.55% -0.83% -2.87% -3.55% -1.38% -2.50% -2.96%
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 9 17 12 6 5 9 14 7 6 3
2014 Contract Condition     Yes   Yes       Yes Yes Yes Yes
Action     Yes   Yes       Yes Yes Yes Yes
High 260.21 264.81 258.71 262.24 265.74 266.98 268.67 281.10 276.30 262.13 256.64 244.00
Low 244.81 254.64 247.38 245.99 252.26 251.49 256.99 260.88 259.70 248.61 237.34 207.76
Close/Last 256.79 259.71 247.81 260.08 259.50 260.33 264.55 275.49 261.12 256.47 238.83 214.78

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