MRCI Online
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| ScenarioSM Study for September 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 | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul |
| Tested Years | 5 | 17 | 19 | 22 | 22 | 23 | 24 | 25 | 25 | 25 | 25 |
| Closed Higher | 3 | 7 | 7 | 12 | 13 | 13 | 20 | 19 | 14 | 13 | 15 |
| Exceeded High | 3 | 4 | 6 | 11 | 11 | 12 | 19 | 16 | 12 | 13 | 13 |
| Scenario Percentage | 100% | 57% | 86% | 92% | 85% | 92% | 95% | 84% | 86% | 100% | 87% |
| Avg Max Increase | 7.86% | 7.49% | 10.56% | 8.43% | 13.60% | 13.66% | 10.86% | 11.24% | 8.41% | 14.10% | 17.83% |
| Max Increase | 16.67% | 10.23% | 20.78% | 19.30% | 30.40% | 23.87% | 29.60% | 39.34% | 13.06% | 59.71% | 77.71% |
| Avg Days To Max Increase | 16 | 28 | 13 | 18 | 17 | 17 | 16 | 17 | 16 | 17 | 21 |
| Avg Max Decline | -0.89% | -1.77% | -0.06% | -0.95% | -3.70% | -1.24% | -3.14% | -2.04% | -4.10% | -4.08% | -1.60% |
| Max Decline | -1.81% | -2.49% | -1.66% | -7.48% | -16.73% | -5.52% | -9.33% | -10.88% | -10.39% | -15.86% | -8.58% |
| Avg Days to Max Decline | 4 | 13 | 9 | 9 | 11 | 7 | 7 | 7 | 13 | 10 | 5 |
| 2009 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | |||||
| Action | Yes | Yes | Yes | Yes | Yes | Yes | |||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
