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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October RBOB Gasoline(NYM) as of Jan 01, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   11 21 22 24 26 29 31 31 31 31 31
Closed Higher   6 10 12 12 17 22 22 16 16 20 18
Exceeded High   6 9 11 11 16 20 17 14 15 19 14
Scenario Percentage   100% 90% 92% 92% 94% 91% 77% 88% 94% 95% 78%
Avg Max Increase   7.25% 9.37% 9.32% 10.42% 10.84% 10.04% 9.53% 7.93% 12.71% 16.72% 10.26%
Max Increase   11.40% 20.39% 19.77% 21.39% 23.01% 29.75% 39.07% 13.59% 55.16% 77.28% 23.35%
Avg Days To Max Increase   21 19 19 18 19 16 15 19 17 15 16
Avg Max Decline   -1.24% -1.30% -1.11% -2.74% -2.56% -2.56% -1.97% -3.03% -3.77% -2.08% -1.38%
Max Decline   -3.21% -7.74% -7.27% -16.80% -14.34% -9.22% -9.97% -6.60% -16.43% -11.37% -5.71%
Avg Days to Max Decline   15 10 9 9 11 6 9 12 12 9 5
2015 Contract Condition           Yes   Yes Yes      
Action           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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   11 21 22 24 26 29 31 31 31 31 31
Closed Lower   5 11 10 12 9 7 9 15 15 11 13
Penetrated Low   5 9 6 6 2 3 5 9 11 9 6
Scenario Percentage   100% 82% 60% 50% 22% 43% 56% 60% 73% 82% 46%
Avg Max Decline   19.05% 14.18% 12.42% 6.65% 8.43% 5.62% 9.84% 11.10% 10.54% 9.64% 12.07%
Max Decline   39.95% 28.37% 26.11% 10.58% 8.53% 9.93% 23.01% 17.41% 32.55% 21.88% 18.20%
Avg Days To Max Decline   14 18 14 15 17 16 17 16 15 14 18
Avg Max Increase   -1.24% 0.09% -1.29% -1.92% -2.43% 0.77% -2.88% -0.42% -2.23% -1.29% -1.72%
Max Increase   -4.35% -6.92% -4.30% -6.28% -4.60% -0.66% -7.04% -1.46% -7.84% -5.05% -3.71%
Avg Days to Max Increase   7 7 6 3 17 15 14 4 7 4 4
2015 Contract Condition   Yes Yes Yes Yes   Yes     Yes Yes Yes
Action   Yes Yes Yes No   No     Yes Yes Not Yet
High 251.88 238.57 219.44 191.78 160.43 175.85 174.20 183.03 189.06 189.79 181.62 156.57
Low 239.15 215.44 185.40 157.19 139.74 152.31 150.64 154.36 171.37 172.49 153.63 122.79
Close/Last 239.15 220.13 185.40 160.63 156.11 175.85 156.74 182.82 183.18 182.04 157.18 149.91

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