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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January NY Harbor ULSD(NYM) as of Dec 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   20 22 26 28 31 32 32 32 32 32 32
Closed Higher   10 12 20 19 16 16 20 17 21 13 13
Exceeded High   8 11 19 16 12 16 16 17 17 10 8
Scenario Percentage   80% 92% 95% 84% 75% 100% 80% 100% 81% 77% 62%
Avg Max Increase   12.63% 11.63% 10.66% 10.71% 9.89% 10.14% 13.83% 10.02% 8.34% 12.08% 21.80%
Max Increase   28.58% 23.82% 41.75% 52.14% 25.37% 24.90% 71.34% 38.14% 21.49% 26.77% 77.96%
Avg Days To Max Increase   15 15 19 17 16 17 18 15 16 19 25
Avg Max Decline   -1.44% -1.20% -2.52% -1.99% -1.43% -2.99% -1.76% -2.67% -3.31% -1.83% -2.08%
Max Decline   -4.68% -4.39% -8.71% -10.66% -5.26% -15.39% -8.11% -13.56% -13.28% -3.38% -7.37%
Avg Days to Max Decline   5 9 8 8 6 12 8 9 10 4 4
2010 Contract Condition       Yes   Yes Yes       Yes Yes
Action       Yes   Yes Yes       No Not Yet
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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 Nov
Tested Years   20 22 26 28 31 32 32 32 32 32 32
Closed Lower   10 10 6 9 15 16 12 15 11 19 19
Penetrated Low   7 6 4 6 10 13 6 8 9 16 18
Scenario Percentage   70% 60% 67% 67% 67% 81% 50% 53% 82% 84% 95%
Avg Max Decline   8.39% 5.63% 4.55% 5.98% 7.30% 7.39% 9.24% 13.21% 12.54% 14.71% 10.36%
Max Decline   17.36% 18.65% 6.93% 7.89% 13.51% 18.97% 24.06% 40.46% 44.00% 43.61% 31.02%
Avg Days To Max Decline   13 10 7 17 16 17 16 18 17 16 17
Avg Max Increase   -1.19% -1.45% -3.10% -3.31% -0.98% -1.73% -4.62% -1.57% -3.84% -2.85% -1.87%
Max Increase   -5.97% -3.71% -5.32% -6.82% -6.39% -7.53% -19.07% -5.36% -16.69% -8.52% -10.08%
Avg Days to Max Increase   3 7 10 17 2 7 14 18 9 6 5
2010 Contract Condition   Yes Yes   Yes     Yes Yes Yes    
Action   Yes No   No     No Yes No    
High 194.50 189.00 165.05 173.58 168.10 188.57 206.69 201.45 208.50 194.79 218.73 213.45
Low 150.36 157.37 136.40 137.75 152.65 157.32 191.35 167.19 188.25 175.64 180.00 191.03
Close/Last 173.16 165.05 149.73 159.59 156.60 188.37 197.61 196.86 190.35 188.82 203.81 204.79

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