MRCI Online
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| ScenarioSM Study for August 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 | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun |
| Tested Years | 7 | 17 | 18 | 19 | 22 | 22 | 24 | 24 | 24 | 24 | 24 |
| Closed Higher | 4 | 8 | 8 | 7 | 12 | 14 | 13 | 19 | 17 | 14 | 12 |
| Exceeded High | 3 | 6 | 5 | 6 | 11 | 12 | 13 | 18 | 14 | 12 | 10 |
| Scenario Percentage | 75% | 75% | 62% | 86% | 92% | 86% | 100% | 95% | 82% | 86% | 83% |
| Avg Max Increase | 11.78% | 8.37% | 6.98% | 11.60% | 8.93% | 15.08% | 13.97% | 10.94% | 12.97% | 10.62% | 9.15% |
| Max Increase | 27.22% | 17.17% | 11.02% | 20.89% | 20.34% | 33.07% | 26.78% | 30.63% | 41.22% | 16.94% | 18.79% |
| Avg Days To Max Increase | 19 | 17 | 24 | 13 | 19 | 19 | 17 | 15 | 17 | 16 | 16 |
| Avg Max Decline | 0.64% | -1.50% | -0.99% | 0.27% | -0.89% | -3.49% | -2.06% | -2.62% | -2.10% | -4.83% | -1.96% |
| Max Decline | -2.71% | -6.20% | -2.70% | -1.00% | -7.85% | -16.59% | -6.78% | -7.23% | -12.59% | -11.35% | -4.69% |
| Avg Days to Max Decline | 6 | 4 | 15 | 6 | 9 | 11 | 6 | 6 | 7 | 11 | 4 |
| 2009 Contract Condition | Yes | Yes | Yes | Yes | Yes | ||||||
| Action | Yes | Yes | Yes | Yes | No | ||||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
