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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November RBOB Gasoline(NYM) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   5 14 16 18 22 23 23 24 24 24 24
Closed Higher   3 8 7 12 16 17 11 11 15 16 13
Exceeded High   2 7 6 12 15 14 9 11 13 16 9
Scenario Percentage   67% 88% 86% 100% 94% 82% 82% 100% 87% 100% 69%
Avg Max Increase   17.68% 7.27% 10.82% 10.73% 9.10% 8.11% 7.85% 11.56% 16.20% 11.18% 8.99%
Max Increase   20.71% 17.16% 21.12% 21.93% 20.23% 28.58% 14.84% 40.62% 71.91% 29.31% 15.24%
Avg Days To Max Increase   16 17 16 15 17 18 20 18 20 20 21
Avg Max Decline   1.09% -1.54% -2.08% -1.35% -3.05% -2.25% -2.74% -2.36% -2.27% -4.24% -2.18%
Max Decline   0.70% -7.21% -5.25% -6.02% -9.73% -9.50% -6.04% -10.60% -9.62% -14.50% -4.71%
Avg Days to Max Decline   20 10 11 8 7 9 13 11 10 12 2
2008 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   5 14 16 18 22 23 23 24 24 24 24
Closed Lower   2 6 9 6 6 6 12 13 9 8 11
Penetrated Low   1 3 5 1 3 3 8 9 6 4 8
Scenario Percentage   50% 50% 56% 17% 50% 50% 67% 69% 67% 50% 73%
Avg Max Decline   25.67% 15.59% 7.20% 8.40% 6.51% 6.33% 9.41% 6.93% 10.69% 22.28% 12.55%
Max Decline   25.67% 26.63% 10.55% 8.40% 9.60% 7.80% 15.05% 17.36% 24.70% 49.55% 42.21%
Avg Days To Max Decline   30 19 17 17 21 21 14 14 14 19 18
Avg Max Increase   -0.15% 0.48% -0.91% 0.33% -0.27% -4.03% -0.48% -1.77% -4.87% -1.32% -2.92%
Max Increase   -0.15% -2.00% -3.39% 0.33% -1.88% -6.96% -1.32% -7.83% -19.85% -2.66% -6.24%
Avg Days to Max Increase   4 7 5 2 16 12 4 5 14 4 4
2008 Contract Condition   Yes   Yes   Yes       Yes Yes Yes
Action   No   No   No       Yes Yes Yes
High 221.51 231.55 237.45 242.49 250.32 256.35 281.09 326.78 344.26 354.75 309.15 289.00
Low 194.88 215.07 217.74 217.20 219.92 235.25 241.10 261.46 293.63 290.45 270.85 225.85
Close/Last 221.51 216.56 234.08 229.27 248.69 242.46 267.73 308.92 338.46 299.94 281.52 245.77

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