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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for April RBOB Gasoline(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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   2 12 15 18 22 22 23 23 23 23 23
Closed Higher   2 6 10 13 14 11 11 11 12 15 10
Exceeded High   2 4 10 11 13 9 7 8 12 12 10
Scenario Percentage   100% 67% 100% 85% 93% 82% 64% 73% 100% 80% 100%
Avg Max Increase   5.96% 10.20% 9.92% 11.97% 7.77% 7.44% 10.68% 15.84% 11.26% 13.88% 11.54%
Max Increase   6.60% 12.95% 27.24% 54.45% 28.85% 18.46% 17.20% 27.12% 33.52% 30.03% 24.67%
Avg Days To Max Increase   19 22 22 19 14 18 23 14 17 18 21
Avg Max Decline   -1.07% -3.61% -1.08% -1.39% -1.17% -2.76% -2.21% -0.91% -2.01% -4.91% -3.65%
Max Decline   -2.21% -11.05% -6.60% -7.78% -8.21% -9.33% -5.20% -2.63% -9.66% -14.84% -10.79%
Avg Days to Max Decline   4 3 14 9 10 4 15 3 10 11 6
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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   2 12 15 18 22 22 23 23 23 23 23
Closed Lower     6 5 5 8 10 11 12 11 8 13
Penetrated Low     2 3 3 5 7 8 10 7 4 8
Scenario Percentage     33% 60% 60% 63% 70% 73% 83% 64% 50% 62%
Avg Max Decline     5.70% 6.31% 7.12% 8.11% 10.06% 11.93% 10.84% 15.22% 19.32% 6.72%
Max Decline     9.25% 10.72% 10.05% 17.40% 19.16% 20.71% 26.28% 42.20% 36.09% 13.98%
Avg Days To Max Decline     12 21 20 15 18 16 18 19 13 12
Avg Max Increase     0.24% -1.06% -4.55% -2.57% 0.03% -2.20% -2.88% -3.99% 0.36% -1.45%
Max Increase     -1.14% -3.81% -11.01% -10.38% -2.69% -6.20% -12.42% -11.22% -1.76% -5.94%
Avg Days to Max Increase     3 6 26 10 5 3 15 16 5 6
2008 Contract Condition           Yes     Yes   Yes  
Action           No     Yes   No  
High 197.50 202.88 210.20 214.31 219.69 215.30 225.33 250.41 263.00 267.75 272.23 275.56
Low 182.07 192.75 196.59 205.25 211.00 199.19 207.14 215.80 242.10 239.59 238.07 238.14
Close/Last 197.40 201.04 205.07 213.98 215.99 208.10 222.01 250.41 242.16 263.53 250.97 266.99

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