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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   9 20 22 24 27 28 29 29 29 29 29
Closed Higher   5 12 14 13 10 16 16 16 19 16 22
Exceeded High   4 12 13 11 8 11 13 16 18 16 17
Scenario Percentage   80% 100% 93% 85% 80% 69% 81% 100% 95% 100% 77%
Avg Max Increase   8.98% 8.89% 10.30% 7.52% 7.81% 10.40% 13.16% 11.77% 12.65% 18.37% 10.26%
Max Increase   14.52% 26.43% 52.64% 28.22% 17.98% 17.01% 24.88% 26.92% 31.39% 47.38% 22.82%
Avg Days To Max Increase   16 17 17 15 16 24 18 18 19 18 19
Avg Max Decline   -0.42% -1.69% -1.05% -0.85% -1.74% -1.93% -1.76% -1.96% -4.68% -3.41% -2.64%
Max Decline   -3.30% -11.73% -7.94% -3.56% -7.87% -5.12% -8.63% -9.31% -17.17% -8.87% -8.74%
Avg Days to Max Decline   2 14 8 10 6 15 5 10 10 10 3
2014 Contract Condition     Yes Yes Yes   Yes Yes Yes   Yes  
Action     Yes Yes No   Yes 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   9 20 22 24 27 28 29 29 29 29 29
Closed Lower   4 8 8 11 16 12 13 13 10 13 7
Penetrated Low   2 5 5 6 12 10 11 8 6 9 5
Scenario Percentage   50% 63% 63% 55% 75% 83% 85% 62% 60% 69% 71%
Avg Max Decline   8.09% 6.67% 11.30% 15.05% 12.11% 13.36% 11.96% 14.06% 12.92% 8.50% 8.20%
Max Decline   8.21% 11.29% 23.72% 45.12% 51.46% 41.40% 28.66% 40.25% 34.05% 17.21% 14.32%
Avg Days To Max Decline   22 20 20 18 16 17 19 17 14 12 10
Avg Max Increase   -0.14% -3.72% -3.15% -0.38% -0.18% -2.18% -1.84% -3.65% -0.97% -4.21% -2.48%
Max Increase   -1.37% -7.88% -10.59% -2.70% -3.05% -5.02% -12.19% -9.03% -6.84% -10.04% -5.59%
Avg Days to Max Increase   7 16 15 7 9 3 14 16 5 16 2
2014 Contract Condition   Yes       Yes       Yes   Yes
Action   No       Yes       Yes   Yes
High 286.79 281.34 283.32 289.99 299.81 295.85 284.90 290.70 300.12 296.09 302.29 304.13
Low 260.68 264.18 268.40 272.83 277.75 274.35 272.02 270.12 283.40 278.29 278.00 284.65
Close/Last 269.64 268.98 270.72 287.96 293.73 276.46 278.35 286.24 295.35 281.25 296.75 291.79

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