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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October RBOB Gasoline(NYM) as of May 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   5 15 16 18 20 23 25 25 25 25 25
Closed Higher   2 6 8 9 12 18 18 13 13 16 16
Exceeded High   2 5 7 8 11 18 13 11 13 15 13
Scenario Percentage   100% 83% 88% 89% 92% 100% 72% 85% 100% 94% 81%
Avg Max Increase   8.68% 11.19% 7.37% 10.29% 12.57% 10.29% 11.39% 7.97% 12.82% 18.22% 9.87%
Max Increase   10.38% 20.39% 16.69% 21.39% 23.01% 29.75% 39.07% 13.59% 55.16% 77.28% 23.35%
Avg Days To Max Increase   28 14 17 17 17 17 16 19 18 15 15
Avg Max Decline   -2.30% -0.42% -1.26% -3.55% -1.56% -2.79% -1.86% -3.08% -3.93% -2.14% -1.05%
Max Decline   -3.21% -1.88% -7.27% -16.80% -6.42% -9.22% -9.97% -6.60% -16.43% -11.37% -5.49%
Avg Days to Max Decline   30 11 10 11 9 7 8 12 13 10 4
2010 Contract Condition   Yes Yes     Yes Yes Yes        
Action   Yes 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   5 15 16 18 20 23 25 25 25 25 25
Closed Lower   3 9 8 9 8 5 7 12 12 9 9
Penetrated Low   3 8 4 5 1 2 4 7 9 7 5
Scenario Percentage   100% 89% 50% 56% 13% 40% 57% 58% 75% 78% 56%
Avg Max Decline   21.78% 12.87% 12.62% 7.35% 8.53% 6.78% 6.54% 11.15% 7.88% 8.40% 13.51%
Max Decline   39.95% 28.37% 26.11% 10.58% 8.53% 9.93% 8.98% 17.41% 20.74% 21.75% 18.20%
Avg Days To Max Decline   13 19 16 17 17 24 16 14 14 12 19
Avg Max Increase   -1.89% 0.53% -0.89% -1.05% -0.25% 0.99% -3.55% -0.36% -1.95% -1.68% -1.97%
Max Increase   -4.35% -6.92% -2.71% -3.30% -0.25% -0.66% -7.04% -1.11% -7.84% -5.05% -3.71%
Avg Days to Max Increase   11 7 5 3 2 23 18 2 4 3 4
2010 Contract Condition       Yes Yes       Yes Yes    
Action       Yes Yes       Not Yet      
High 194.01 213.77 214.31 213.10 218.03 208.92 216.46 229.45 232.85 195.59    
Low 176.76 184.22 204.34 194.16 192.08 186.00 203.55 215.07 178.50 189.19    
Close/Last 187.63 203.46 210.46 209.04 192.08 206.28 216.21 229.08 193.38 189.58    

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