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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years 6 17 19 21 23 25 25 25 25 25 25
Closed Higher 3 7 11 14 16 12 12 16 14 15 13
Exceeded High 3 6 10 13 14 9 12 14 13 12 6
Scenario Percentage 100% 86% 91% 93% 88% 75% 100% 88% 93% 80% 46%
Avg Max Increase 6.49% 12.76% 10.40% 9.78% 10.12% 8.90% 10.27% 13.87% 11.00% 8.93% 7.79%
Max Increase 7.46% 22.03% 21.85% 27.32% 35.93% 15.46% 33.82% 68.80% 31.54% 21.87% 16.31%
Avg Days To Max Increase 20 15 15 16 17 20 17 19 19 14 14
Avg Max Decline -2.32% -4.03% -1.77% -3.42% -1.81% -2.56% -3.46% -1.93% -3.72% -2.87% -2.10%
Max Decline -7.37% -17.20% -5.42% -9.08% -8.98% -5.66% -15.76% -9.35% -13.09% -14.62% -4.35%
Avg Days to Max Decline 11 8 9 6 8 16 11 9 11 3 3
2009 Contract Condition   Yes   Yes Yes Yes Yes Yes     Yes
Action   Yes   Yes Yes Yes Yes Yes     No
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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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years 6 17 19 21 23 25 25 25 25 25 25
Closed Lower 3 9 8 7 7 13 13 9 11 10 12
Penetrated Low 1 5 2 3 4 8 8 7 6 8 8
Scenario Percentage 33% 56% 25% 43% 57% 62% 62% 78% 55% 80% 67%
Avg Max Decline 26.89% 7.47% 13.76% 6.55% 6.10% 8.41% 6.54% 9.17% 18.13% 15.92% 15.26%
Max Decline 26.89% 11.17% 18.56% 9.10% 7.18% 13.77% 16.11% 25.87% 50.85% 59.61% 34.02%
Avg Days To Max Decline 19 17 24 21 18 14 18 16 18 16 22
Avg Max Increase -1.95% -0.71% -2.03% -0.25% -3.09% -0.78% -1.62% -4.00% -1.60% -2.71% -3.67%
Max Increase -1.95% -1.59% -4.19% -2.10% -6.92% -3.88% -7.87% -15.40% -3.78% -6.53% -8.54%
Avg Days to Max Increase 14 11 10 16 8 4 3 15 8 5 3
2009 Contract Condition Yes   Yes           Yes Yes  
Action No   No           Yes No  
High 137.01 141.41 134.00 148.78 147.99 174.49 190.95 188.31 195.50 187.83 210.15
Low 105.82 120.00 108.90 117.94 130.98 142.77 171.41 151.65 176.80 163.38 169.80
Close/Last 129.50 131.52 127.75 137.05 140.48 173.98 180.02 187.94 180.99 176.53 195.95

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