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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July RBOB Gasoline(NYM) as of Oct 20, 2019
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   14 23 26 27 31 34 34 34 34 34 34
Closed Higher   8 13 11 15 16 18 22 17 26 25 18
Exceeded High   7 10 10 11 14 17 19 17 22 21 9
Scenario Percentage   88% 77% 91% 73% 88% 94% 86% 100% 85% 84% 50%
Avg Max Increase   5.34% 6.70% 7.94% 7.71% 11.01% 9.09% 12.81% 14.64% 11.97% 10.31% 6.87%
Max Increase   12.65% 13.21% 17.64% 13.11% 21.01% 21.50% 32.57% 30.89% 32.29% 43.55% 12.35%
Avg Days To Max Increase   17 16 14 22 18 19 20 21 16 13 15
Avg Max Decline   -1.59% -1.93% -1.09% -2.11% -1.24% -1.58% -4.07% -2.91% -3.30% -2.16% -2.59%
Max Decline   -7.41% -3.52% -6.49% -7.78% -8.06% -8.15% -17.05% -13.80% -13.26% -9.95% -6.00%
Avg Days to Max Decline   8 9 5 11 6 9 10 10 5 5 4
2019 Contract Condition     Yes Yes       Yes Yes Yes Yes  
Action     Yes 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   14 23 26 27 31 34 34 34 34 34 34
Closed Lower   6 10 14 12 15 16 12 17 8 9 16
Penetrated Low   5 7 11 10 13 9 7 9 5 7 13
Scenario Percentage   83% 70% 79% 83% 87% 56% 58% 53% 63% 78% 81%
Avg Max Decline   10.34% 14.33% 12.52% 15.59% 12.24% 15.28% 13.90% 8.80% 9.42% 9.12% 9.34%
Max Decline   23.47% 44.50% 49.69% 39.46% 27.20% 39.30% 36.30% 20.02% 15.58% 17.72% 24.83%
Avg Days To Max Decline   18 19 15 17 18 15 14 13 4 14 17
Avg Max Increase   -0.29% -1.18% -0.68% -1.64% -1.18% -2.66% -1.15% -3.00% -1.64% -3.21% -1.43%
Max Increase   -3.70% -8.90% -6.35% -4.82% -6.52% -5.94% -6.58% -9.55% -4.71% -7.51% -5.48%
Avg Days to Max Increase   8 7 9 4 10 8 6 17 3 10 6
2019 Contract Condition   Yes     Yes Yes Yes         Yes
Action   No     Yes Yes No         Yes
High 210.74 212.58 213.30 225.18 231.63 199.64 173.61 168.42 179.38 187.34 206.45 205.11
Low 196.91 196.92 198.73 207.28 198.85 159.55 143.98 147.71 160.14 172.69 185.44 175.77
Close/Last 210.74 206.39 212.25 223.79 199.09 162.98 150.42 160.75 176.59 185.20 203.32 177.14

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