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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June RBOB Gasoline(NYM) as of Dec 31, 2010
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   7 17 19 22 24 25 25 25 25 25 25
Closed Higher   4 10 10 9 13 12 13 17 12 20 18
Exceeded High   4 10 9 7 8 9 13 15 12 19 14
Scenario Percentage   100% 100% 90% 78% 62% 75% 100% 88% 100% 95% 78%
Avg Max Increase   4.35% 11.04% 8.45% 7.81% 10.63% 13.11% 9.45% 13.51% 18.34% 13.99% 10.68%
Max Increase   6.66% 52.68% 28.27% 17.83% 17.58% 23.63% 23.34% 32.68% 36.66% 36.31% 33.03%
Avg Days To Max Increase   12 18 15 17 24 15 18 20 21 16 15
Avg Max Decline   -3.67% -1.05% -0.89% -1.92% -1.71% -1.72% -1.80% -5.38% -2.12% -3.89% -1.86%
Max Decline   -12.14% -7.48% -3.53% -7.12% -5.04% -8.45% -8.61% -17.33% -7.19% -14.14% -9.92%
Avg Days to Max Decline   6 9 11 3 17 4 10 12 8 6 4
2010 Contract Condition   Yes Yes     Yes Yes     Yes Yes Yes
Action   Yes Yes     No 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   7 17 19 22 24 25 25 25 25 25 25
Closed Lower   3 7 9 13 11 13 12 8 13 5 7
Penetrated Low   1 5 6 8 9 11 7 5 8 3 2
Scenario Percentage   33% 71% 67% 62% 82% 85% 58% 63% 62% 60% 29%
Avg Max Decline   4.81% 10.58% 12.81% 15.65% 13.79% 11.22% 14.92% 14.91% 8.15% 11.59% 6.00%
Max Decline   4.81% 23.55% 44.81% 50.50% 40.45% 27.97% 39.48% 35.67% 18.62% 18.26% 7.96%
Avg Days To Max Decline   16 20 20 21 18 19 18 16 10 4 9
Avg Max Increase   0.32% -3.15% -1.66% 0.43% -2.32% -1.81% -3.10% -1.40% -2.89% -1.99% -1.86%
Max Increase   0.32% -10.55% -9.12% -2.94% -4.79% -11.90% -6.95% -6.40% -9.52% -4.71% -2.60%
Avg Days to Max Increase   8 16 9 7 3 15 10 6 12 1 5
2010 Contract Condition       Yes Yes     Yes Yes      
Action       Yes No     Yes Yes      
High 198.00 212.05 208.56 215.80 206.50 227.30 224.85 224.48 230.82 222.84 230.40 240.48
Low 170.46 196.10 177.77 198.80 187.76 194.00 212.98 201.69 202.76 196.40 214.61 223.57
Close/Last 196.93 202.33 208.56 202.10 198.43 215.10 220.31 219.69 203.58 219.32 230.13 239.94

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