|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for October Gasoline(NYMEX) as of Jun 30, 2008 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
| Tested Years |
13 |
14 |
16 |
18 |
21 |
23 |
23 |
23 |
23 |
23 |
23 |
| Closed Higher |
6 |
7 |
8 |
11 |
17 |
16 |
11 |
11 |
15 |
16 |
13 |
| Exceeded High |
5 |
6 |
7 |
10 |
17 |
11 |
9 |
11 |
14 |
13 |
|
| Scenario Percentage |
83% |
86% |
88% |
91% |
100% |
69% |
82% |
100% |
93% |
81% |
0% |
| Avg Max Increase |
11.19% |
7.51% |
9.76% |
12.85% |
9.15% |
7.36% |
7.11% |
13.81% |
19.30% |
9.83% |
|
| Max Increase |
20.39% |
16.69% |
21.39% |
23.01% |
21.67% |
18.47% |
12.12% |
55.16% |
77.28% |
23.35% |
|
| Avg Days To Max Increase |
14 |
16 |
15 |
16 |
16 |
15 |
20 |
19 |
19 |
18 |
|
| Avg Max Decline |
-0.42% |
-0.26% |
-1.66% |
-0.85% |
-2.68% |
-2.00% |
-3.10% |
-2.73% |
-2.35% |
-1.26% |
|
| Max Decline |
-1.88% |
-3.67% |
-5.69% |
-5.10% |
-9.22% |
-9.97% |
-6.59% |
-12.56% |
-11.37% |
-7.71% |
|
| Avg Days to Max Decline |
11 |
8 |
11 |
8 |
7 |
10 |
14 |
14 |
12 |
6 |
|
| 2008 Contract Condition |
|
Yes |
|
Yes |
|
Yes |
Yes |
Yes |
|
|
|
| Action |
|
Yes |
|
Yes |
|
Yes |
Yes |
Not Yet |
|
|
|
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
| Tested Years |
13 |
14 |
16 |
18 |
21 |
23 |
23 |
23 |
23 |
23 |
23 |
| Closed Lower |
7 |
7 |
8 |
7 |
4 |
7 |
12 |
12 |
8 |
7 |
10 |
| Penetrated Low |
6 |
4 |
5 |
1 |
2 |
4 |
7 |
9 |
6 |
3 |
10 |
| Scenario Percentage |
86% |
57% |
63% |
14% |
50% |
57% |
58% |
75% |
75% |
43% |
100% |
| Avg Max Decline |
12.28% |
12.53% |
7.35% |
8.53% |
6.78% |
6.53% |
11.15% |
7.88% |
6.23% |
12.60% |
100.00% |
| Max Decline |
25.34% |
26.11% |
10.58% |
8.53% |
9.93% |
8.98% |
17.41% |
20.74% |
10.28% |
17.92% |
100.00% |
| Avg Days To Max Decline |
21 |
17 |
17 |
17 |
24 |
14 |
14 |
14 |
16 |
17 |
1 |
| Avg Max Increase |
-0.17% |
-0.89% |
-1.05% |
-0.25% |
0.99% |
-3.55% |
-0.36% |
-1.95% |
-2.04% |
-0.88% |
100.00% |
| Max Increase |
-6.92% |
-2.71% |
-3.30% |
-0.25% |
-0.66% |
-7.04% |
-1.11% |
-7.84% |
-5.05% |
-1.47% |
100.00% |
| Avg Days to Max Increase |
9 |
5 |
3 |
2 |
23 |
18 |
2 |
4 |
10 |
1 |
1 |
| 2008 Contract Condition |
Yes |
|
Yes |
|
Yes |
|
|
|
|
|
|
| Action |
Yes |
|
No |
|
No |
|
|
|
|
|
|
| High |
236.00 |
241.65 |
246.99 |
254.13 |
258.27 |
284.82 |
327.21 |
347.29 |
|
|
|
| Low |
219.47 |
218.60 |
221.20 |
223.24 |
237.00 |
242.35 |
264.35 |
297.99 |
|
|
|
| Close/Last |
220.61 |
238.53 |
233.37 |
251.89 |
245.06 |
271.03 |
311.92 |
338.91 |
|
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