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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March RBOB Gasoline(NYM) as of Aug 18, 2023
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   19 28 31 32 35 36 37 38 38 38 38
Closed Higher   13 20 18 18 23 18 19 19 17 24 24
Exceeded High   12 17 14 17 20 15 18 11 14 24 15
Scenario Percentage   92% 85% 78% 94% 87% 83% 95% 58% 82% 100% 63%
Avg Max Increase   10.73% 9.66% 8.90% 8.98% 9.99% 9.32% 7.52% 11.12% 13.74% 12.33% 11.35%
Max Increase   24.62% 32.02% 15.22% 26.75% 57.53% 31.03% 20.25% 18.41% 28.04% 34.52% 22.63%
Avg Days To Max Increase   21 16 20 19 18 13 13 23 18 17 17
Avg Max Decline   -1.33% -1.51% -2.35% -2.51% -1.87% -1.78% -2.07% -2.02% -3.35% -2.97% -2.26%
Max Decline   -5.80% -7.25% -9.40% -13.08% -13.67% -10.27% -10.51% -5.76% -12.03% -11.73% -13.95%
Avg Days to Max Decline   6 6 11 11 10 6 4 16 5 10 2
2023 Contract Condition   Yes Yes Yes         Yes   Yes Yes
Action   Yes Yes Yes         Yes   Yes Not Yet
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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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   19 28 31 32 35 36 37 38 38 38 38
Closed Lower   5 8 13 14 12 18 18 19 21 14 14
Penetrated Low   1 5 8 10 8 11 13 16 16 7 9
Scenario Percentage   20% 63% 62% 71% 67% 61% 72% 84% 76% 50% 64%
Avg Max Decline   9.43% 8.90% 8.69% 10.74% 12.23% 13.05% 14.42% 14.90% 14.67% 21.20% 10.96%
Max Decline   9.43% 21.39% 16.48% 30.04% 25.77% 48.34% 55.77% 45.55% 32.34% 43.15% 29.14%
Avg Days To Max Decline   4 17 15 17 18 19 15 17 17 16 14
Avg Max Increase   -5.34% -3.06% -0.51% -2.30% -2.23% -2.10% -1.02% -2.30% -3.05% -4.58% -2.45%
Max Increase   -5.34% -6.37% -2.09% -8.82% -11.97% -11.93% -7.32% -6.63% -10.96% -17.88% -12.22%
Avg Days to Max Increase   13 9 4 9 12 13 5 2 10 8 4
2023 Contract Condition         Yes Yes Yes Yes   Yes    
Action         Yes Yes Yes No   Yes    
High 246.92 277.06 275.25 288.50 302.63 275.62 258.38 244.05 255.12 266.73 251.75 271.86
Low 219.43 233.30 249.72 255.90 263.90 233.50 232.41 215.46 226.99 223.07 204.83 224.39
Close/Last 235.76 248.36 261.47 276.95 264.79 260.52 234.25 222.60 244.42 239.63 247.83 256.68

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