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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Crude Oil(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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   21 23 24 24 26 26 26 27 27 27 27
Closed Higher   11 10 9 11 14 14 19 17 14 14 18
Exceeded High   9 6 7 11 13 13 17 15 11 13 16
Scenario Percentage   82% 60% 78% 100% 93% 93% 89% 88% 79% 93% 89%
Avg Max Increase   7.27% 8.28% 10.54% 9.94% 11.03% 11.24% 9.84% 9.80% 11.11% 9.84% 8.62%
Max Increase   21.09% 14.18% 17.87% 20.30% 24.34% 25.29% 23.85% 29.55% 18.59% 16.41% 40.41%
Avg Days To Max Increase   14 26 12 19 19 17 15 16 20 9 10
Avg Max Decline   -1.07% -2.82% -0.85% -2.18% -2.82% -1.03% -3.44% -2.35% -3.10% -2.20% -0.80%
Max Decline   -5.19% -9.17% -4.14% -8.33% -10.21% -4.50% -11.27% -8.44% -9.48% -12.43% -3.77%
Avg Days to Max Decline   3 19 3 11 9 10 11 8 10 13 1
2010 Contract Condition     Yes Yes     Yes Yes Yes      
Action     No 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   21 23 24 24 26 26 26 27 27 27 27
Closed Lower   10 13 15 13 12 12 7 10 13 13 9
Penetrated Low   8 11 13 9 6 6 4 6 9 9 5
Scenario Percentage   80% 85% 87% 69% 50% 50% 57% 60% 69% 69% 56%
Avg Max Decline   13.33% 12.15% 12.44% 15.57% 17.50% 8.72% 6.81% 6.75% 10.57% 8.37% 6.37%
Max Decline   44.61% 37.24% 26.93% 37.89% 41.53% 27.40% 10.50% 13.57% 18.42% 20.16% 11.61%
Avg Days To Max Decline   21 18 19 19 19 12 16 22 14 16 9
Avg Max Increase   -0.55% -2.70% -1.53% -2.17% -1.47% -2.74% -2.88% -3.65% -1.42% -2.31% -2.20%
Max Increase   -4.17% -5.65% -11.90% -9.95% -4.37% -10.12% -8.52% -9.34% -3.66% -7.70% -4.10%
Avg Days to Max Increase   11 9 7 10 4 7 1 12 5 7 2
2010 Contract Condition   Yes     Yes Yes       Yes Yes  
Action   No     Yes Yes       Not Yet    
High 80.76 77.38 85.49 84.86 85.15 87.30 82.41 85.04 90.51 92.18 77.54  
Low 75.14 70.86 72.81 80.14 77.20 75.81 72.43 79.86 84.66 69.62 73.80  
Close/Last 75.72 74.96 81.10 83.86 82.92 76.05 81.29 85.03 90.41 76.12 74.90  

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