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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   18 22 24 25 28 29 30 30 30 30 30
Closed Higher   8 12 12 13 21 20 16 14 18 17 20
Exceeded High   5 12 9 12 20 16 12 14 15 17 15
Scenario Percentage   63% 100% 75% 92% 95% 80% 75% 100% 83% 100% 75%
Avg Max Increase   10.18% 7.23% 11.70% 12.17% 12.47% 11.55% 9.21% 11.40% 15.92% 10.73% 5.48%
Max Increase   15.12% 17.61% 28.01% 23.28% 51.12% 53.09% 23.81% 24.96% 76.22% 39.38% 15.65%
Avg Days To Max Increase   14 14 12 14 19 17 15 18 18 13 14
Avg Max Decline   -0.81% -1.24% -1.48% -1.55% -2.24% -2.18% -1.74% -2.38% -2.25% -2.89% -2.38%
Max Decline   -2.17% -6.74% -4.81% -5.33% -8.88% -11.99% -5.77% -8.22% -8.55% -15.12% -13.24%
Avg Days to Max Decline   8 9 5 9 7 9 8 12 9 7 3
2008 Contract Condition     Yes   Yes Yes Yes Yes Yes      
Action     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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   18 22 24 25 28 29 30 30 30 30 30
Closed Lower   10 10 12 12 7 9 14 16 12 13 10
Penetrated Low   7 8 8 8 6 7 10 13 7 8 6
Scenario Percentage   70% 80% 67% 67% 86% 78% 71% 81% 58% 62% 60%
Avg Max Decline   6.38% 11.42% 10.44% 4.92% 5.85% 5.20% 7.64% 8.05% 11.86% 13.19% 11.40%
Max Decline   11.76% 32.60% 34.45% 18.95% 7.76% 8.08% 14.27% 19.18% 23.89% 41.36% 34.78%
Avg Days To Max Decline   18 20 16 8 13 13 15 18 17 16 16
Avg Max Increase   -1.66% -3.21% -1.11% -1.21% -2.74% -4.02% -0.96% -1.91% -4.75% -2.40% -1.47%
Max Increase   -5.51% -6.87% -3.19% -5.12% -5.55% -7.55% -6.77% -7.93% -19.87% -6.87% -3.89%
Avg Days to Max Increase   8 8 5 6 11 16 2 9 13 13 5
2008 Contract Condition   Yes   Yes           Yes Yes Yes
Action   Yes   No           Yes Yes Yes
High 240.63 250.62 258.10 264.24 279.37 303.20 335.08 409.75 410.50 425.00 360.63 331.84
Low 212.28 235.23 235.00 238.73 242.10 273.69 285.00 313.71 363.85 350.46 309.17 268.83
Close/Last 240.63 236.95 255.99 252.01 278.39 289.11 321.50 376.42 401.50 353.23 321.94 289.47

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