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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, 2019
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   15 26 28 30 32 34 34 34 34 34 34
Closed Higher   8 11 16 20 22 16 15 21 19 19 17
Exceeded High   7 10 15 18 20 12 14 19 17 16 9
Scenario Percentage   88% 91% 94% 90% 91% 75% 93% 90% 89% 84% 53%
Avg Max Increase   8.72% 10.96% 9.22% 9.80% 8.54% 8.07% 9.90% 12.21% 10.83% 9.56% 7.91%
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   20 15 18 14 15 20 17 18 19 13 13
Avg Max Decline   -1.44% -3.69% -2.75% -3.16% -2.13% -3.12% -3.20% -2.11% -3.56% -2.55% -1.64%
Max Decline   -7.37% -17.20% -14.07% -9.08% -8.98% -10.81% -15.76% -9.35% -13.09% -14.62% -4.35%
Avg Days to Max Decline   6 7 11 5 7 14 10 8 10 6 2
2018 Contract Condition   Yes Yes   Yes Yes Yes Yes   Yes Yes  
Action   Yes Yes   Yes Yes No Yes   Yes Yes  
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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   15 26 28 30 32 34 34 34 34 34 34
Closed Lower   7 14 12 10 10 18 19 13 15 15 17
Penetrated Low   4 9 4 5 6 11 12 10 8 13 13
Scenario Percentage   57% 64% 33% 50% 60% 61% 63% 77% 53% 87% 76%
Avg Max Decline   18.66% 7.36% 11.23% 6.94% 9.48% 9.60% 9.84% 9.68% 17.72% 13.54% 13.39%
Max Decline   26.89% 14.31% 18.56% 11.96% 22.73% 17.58% 32.26% 25.87% 50.85% 59.61% 34.02%
Avg Days To Max Decline   11 13 20 14 19 17 17 17 16 14 20
Avg Max Increase   -2.61% -1.29% -2.28% -1.26% -3.29% -1.04% -2.57% -2.89% -1.38% -3.09% -3.70%
Max Increase   -4.70% -5.94% -4.95% -5.79% -6.97% -3.88% -8.91% -15.40% -3.78% -10.07% -15.19%
Avg Days to Max Increase   7 7 13 12 9 6 8 12 7 8 3
2018 Contract Condition       Yes         Yes     Yes
Action       No         No     Yes
High 167.04 171.72 179.79 178.94 180.72 191.00 204.65 197.86 199.46 198.41 209.51 214.64
Low 158.39 160.67 169.75 159.29 162.17 171.11 183.42 182.08 181.80 182.23 190.12 174.40
Close/Last 164.78 171.06 176.94 167.27 178.17 189.02 196.30 197.30 191.89 196.34 207.57 175.14

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