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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 Sep 16, 2022
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   17 28 30 32 35 36 37 37 37 37 37
Closed Higher   10 17 18 18 15 20 20 21 23 20 27
Exceeded High   8 16 16 14 13 13 17 21 21 20 19
Scenario Percentage   80% 94% 89% 78% 87% 65% 85% 100% 91% 100% 70%
Avg Max Increase   7.86% 7.84% 9.56% 8.28% 7.93% 10.14% 13.25% 12.44% 15.33% 17.91% 10.57%
Max Increase   14.52% 26.43% 52.64% 28.22% 17.98% 17.01% 24.88% 30.79% 44.10% 47.38% 22.82%
Avg Days To Max Increase   18 19 18 15 15 24 17 18 19 18 19
Avg Max Decline   -0.95% -2.31% -1.96% -1.19% -1.59% -1.69% -1.70% -1.94% -4.13% -3.64% -2.46%
Max Decline   -3.70% -11.73% -12.56% -3.56% -7.87% -5.12% -8.63% -9.31% -17.17% -14.16% -8.55%
Avg Days to Max Decline   8 13 9 8 5 16 5 8 9 9 3
2022 Contract Condition   Yes Yes Yes   Yes Yes   Yes Yes Yes Yes
Action   Yes Yes Yes   Yes No   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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   17 28 30 32 35 36 37 37 37 37 37
Closed Lower   7 11 12 14 19 16 17 16 14 17 10
Penetrated Low   5 7 8 7 15 14 15 10 9 11 6
Scenario Percentage   71% 64% 67% 50% 79% 88% 88% 63% 64% 65% 60%
Avg Max Decline   8.42% 9.95% 10.24% 15.19% 12.59% 14.44% 12.88% 14.96% 19.69% 14.33% 8.45%
Max Decline   13.48% 24.71% 23.72% 45.12% 51.46% 41.40% 28.66% 40.25% 72.41% 68.82% 14.32%
Avg Days To Max Decline   19 18 20 18 16 17 18 16 14 14 13
Avg Max Increase   -0.55% -2.66% -1.68% -0.32% -0.74% -1.99% -2.54% -3.39% -1.71% -4.16% -2.74%
Max Increase   -1.90% -7.88% -10.59% -2.70% -6.82% -5.02% -12.19% -9.03% -7.53% -10.04% -5.59%
Avg Days to Max Increase   5 12 10 6 8 2 11 13 7 17 4
2022 Contract Condition         Yes     Yes        
Action         No     Yes        
High 197.97 207.86 217.61 220.50 218.85 227.10 247.70 242.31 238.95 266.50 303.98 380.75
Low 183.50 194.51 207.10 198.50 192.30 208.90 225.00 202.50 199.50 231.12 260.24 286.33
Close/Last 195.09 206.13 214.49 219.93 212.39 225.41 238.57 205.70 232.41 264.22 290.89 315.09

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