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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June NY Harbor ULSD(NYM) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   20 22 23 24 24 28 29 29 29 29 29
Closed Higher   10 16 14 13 10 12 15 12 13 21 23
Exceeded High   10 14 13 9 8 8 13 8 12 20 15
Scenario Percentage   100% 88% 93% 69% 80% 67% 87% 67% 92% 95% 65%
Avg Max Increase   10.01% 10.25% 7.71% 7.85% 10.58% 12.89% 8.86% 12.40% 13.39% 12.10% 9.24%
Max Increase   22.79% 53.13% 27.06% 18.49% 21.26% 22.51% 24.36% 27.54% 26.61% 40.66% 27.15%
Avg Days To Max Increase   16 16 14 18 24 15 19 14 14 17 17
Avg Max Decline   -0.72% -0.99% -0.97% -1.30% -2.46% -1.81% -2.22% -2.57% -2.08% -2.37% -1.83%
Max Decline   -2.89% -7.74% -5.65% -6.97% -5.28% -8.11% -7.83% -6.67% -6.97% -7.62% -5.80%
Avg Days to Max Decline   10 10 9 3 12 6 12 7 7 4 4
2008 Contract Condition   Yes Yes   Yes Yes   Yes   Yes Yes Yes
Action   Yes Yes   Yes Yes   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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   20 22 23 24 24 28 29 29 29 29 29
Closed Lower   10 6 9 11 14 16 14 17 16 8 6
Penetrated Low   8 4 5 9 13 13 11 12 12 7 4
Scenario Percentage   80% 67% 56% 82% 93% 81% 79% 71% 75% 88% 67%
Avg Max Decline   4.40% 4.70% 7.49% 8.87% 10.66% 10.62% 13.97% 12.65% 6.76% 8.15% 4.76%
Max Decline   13.21% 10.02% 16.55% 19.39% 21.94% 26.49% 38.28% 35.51% 22.32% 14.21% 6.87%
Avg Days To Max Decline   14 17 20 18 19 20 21 16 12 10 13
Avg Max Increase   -2.14% -4.06% -3.84% -1.58% -2.14% -2.26% -3.34% -2.10% -2.36% -3.25% -1.53%
Max Increase   -6.80% -8.83% -12.29% -5.89% -6.14% -8.57% -9.29% -6.16% -10.34% -6.00% -5.13%
Avg Days to Max Increase   6 17 23 8 6 11 11 6 10 10 3
2008 Contract Condition       Yes     Yes   Yes      
Action       No     Yes   No      
High 198.25 202.65 207.25 203.25 215.28 238.40 249.85 255.53 262.17 277.00 303.46 332.48
Low 187.00 193.00 198.60 188.70 196.84 206.45 232.30 230.57 233.00 235.50 270.29 280.78
Close/Last 193.41 198.54 204.52 195.49 210.86 238.18 233.80 252.79 246.81 275.14 285.46 315.80

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