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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 May 10, 2021
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   17 28 30 32 34 36 36 36 36 36 36
Closed Higher   9 12 17 21 23 17 17 23 20 20 18
Exceeded High   8 11 16 19 20 13 16 21 17 16 10
Scenario Percentage   89% 92% 94% 90% 87% 76% 94% 91% 85% 80% 56%
Avg Max Increase   8.17% 11.36% 9.46% 9.77% 8.54% 8.79% 9.86% 11.89% 10.83% 9.56% 7.84%
Max Increase   17.43% 22.03% 21.85% 27.32% 35.93% 17.44% 33.82% 68.80% 31.54% 21.87% 16.31%
Avg Days To Max Increase   18 16 18 15 15 20 17 18 19 13 15
Avg Max Decline   -1.30% -3.38% -2.72% -2.97% -2.13% -3.06% -3.15% -2.64% -3.56% -2.55% -1.53%
Max Decline   -7.37% -17.20% -14.07% -9.08% -8.98% -10.81% -15.76% -14.27% -13.09% -14.62% -4.35%
Avg Days to Max Decline   6 7 10 5 7 13 10 8 10 6 4
2020 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   17 28 30 32 34 36 36 36 36 36 36
Closed Lower   8 15 13 11 11 19 19 13 16 16 18
Penetrated Low   4 10 5 6 6 12 12 10 8 14 14
Scenario Percentage   50% 67% 38% 55% 55% 63% 63% 77% 50% 88% 78%
Avg Max Decline   18.66% 11.88% 19.10% 9.13% 9.48% 9.32% 9.84% 9.68% 17.72% 13.77% 12.86%
Max Decline   26.89% 52.63% 50.59% 20.10% 22.73% 17.58% 32.26% 25.87% 50.85% 59.61% 34.02%
Avg Days To Max Decline   11 14 20 15 19 16 17 17 16 13 18
Avg Max Increase   -2.61% -1.90% -3.22% -3.42% -3.29% -1.04% -2.57% -2.89% -1.38% -3.11% -3.64%
Max Increase   -4.70% -7.38% -6.98% -14.20% -6.97% -3.88% -8.91% -15.40% -3.78% -10.07% -15.19%
Avg Days to Max Increase   7 8 11 10 9 6 8 12 7 8 3
2020 Contract Condition     Yes Yes Yes Yes         Yes Yes
Action     Yes Yes Yes No         Yes Yes
High 156.05 163.02 165.23 149.78 135.42 89.41 100.68 117.31 115.97 122.53 120.59 120.58
Low 144.19 147.64 138.53 125.30 66.07 62.55 73.94 97.50 104.52 107.22 105.43 100.31
Close/Last 148.63 158.39 139.49 126.59 78.29 78.17 99.89 107.54 108.49 117.65 116.52 103.22

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