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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 Jan 01, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 4 13 16 17 21 24 24 24 24 24 24
Closed Higher 2 7 7 8 9 13 17 11 19 18 13
Exceeded High 2 6 6 5 7 12 15 11 17 15 8
Scenario Percentage 100% 86% 86% 62% 78% 92% 88% 100% 89% 83% 62%
Avg Max Increase 3.91% 5.33% 8.73% 7.57% 13.13% 9.02% 12.81% 17.49% 12.26% 12.52% 6.60%
Max Increase 4.39% 10.73% 17.64% 12.12% 21.01% 21.50% 32.57% 30.89% 32.29% 43.55% 12.35%
Avg Days To Max Increase 23 15 18 23 13 19 20 19 17 12 18
Avg Max Decline -4.78% -2.01% -1.39% -1.42% -0.10% -1.59% -4.95% -2.06% -3.55% -1.41% -2.91%
Max Decline -7.41% -3.52% -6.49% -3.35% -3.19% -8.15% -17.05% -6.69% -13.26% -3.89% -6.34%
Avg Days to Max Decline 14 14 3 14 3 11 12 9 5 4 7
2009 Contract Condition             Yes   Yes Yes Yes
Action             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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 4 13 16 17 21 24 24 24 24 24 24
Closed Lower 2 6 8 9 12 11 7 13 5 6 11
Penetrated Low 2 4 6 7 10 6 4 7 3 4 10
Scenario Percentage 100% 67% 75% 78% 83% 55% 57% 54% 60% 67% 91%
Avg Max Decline 13.52% 15.90% 16.70% 13.96% 10.20% 15.29% 17.18% 8.15% 10.03% 8.02% 9.88%
Max Decline 23.47% 44.50% 49.69% 39.46% 27.20% 39.30% 36.30% 20.02% 15.58% 10.52% 25.46%
Avg Days To Max Decline 16 23 18 16 17 18 17 10 4 14 17
Avg Max Increase -2.02% -1.37% 0.31% -2.16% -0.24% -2.56% 0.00% -3.10% -1.22% -3.79% -1.59%
Max Increase -3.70% -8.90% -2.07% -4.82% -5.67% -5.94% -1.10% -9.55% -4.65% -7.01% -5.48%
Avg Days to Max Increase 14 7 8 5 12 10 8 14 1 12 4
2009 Contract Condition Yes Yes Yes Yes Yes Yes   Yes      
Action Yes Yes Yes Yes Yes No   No      
High 373.62 324.43 293.92 258.05 188.13 142.43 148.25 142.02 156.37 154.39 190.35
Low 319.07 296.67 247.43 168.95 134.09 109.57 123.68 114.40 126.00 137.00 145.50
Close/Last 323.29 304.42 266.52 180.99 150.51 133.60 137.92 135.85 143.89 147.15 189.53

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