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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March NY Harbor ULSD(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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   18 21 22 28 29 29 29 29 29 29 29
Closed Higher   14 15 10 14 18 17 19 16 12 16 10
Exceeded High   14 12 8 14 15 16 15 13 9 14 6
Scenario Percentage   100% 80% 80% 100% 83% 94% 79% 81% 75% 88% 60%
Avg Max Increase   8.25% 6.34% 9.54% 10.50% 11.96% 9.58% 8.66% 11.21% 17.16% 12.28% 12.14%
Max Increase   17.87% 12.75% 25.61% 24.85% 62.05% 33.12% 23.00% 25.47% 34.25% 41.13% 26.53%
Avg Days To Max Increase   18 17 23 19 18 17 14 19 14 17 14
Avg Max Decline   -2.36% -2.09% -1.63% -2.64% -1.45% -2.08% -2.20% -2.57% -1.77% -3.70% -2.15%
Max Decline   -8.64% -7.69% -5.71% -17.69% -8.00% -10.58% -10.07% -8.35% -8.11% -13.01% -9.43%
Avg Days to Max Decline   12 8 10 13 10 9 6 14 4 10 4
2008 Contract Condition   Yes Yes   Yes Yes   Yes Yes   Yes  
Action   Yes Yes   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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   18 21 22 28 29 29 29 29 29 29 29
Closed Lower   4 6 12 14 10 12 10 13 17 13 19
Penetrated Low   2 4 8 11 5 7 7 12 17 11 10
Scenario Percentage   50% 67% 67% 79% 50% 58% 70% 92% 100% 85% 53%
Avg Max Decline   2.47% 4.56% 8.46% 4.97% 5.46% 7.33% 8.31% 12.78% 10.76% 15.16% 9.19%
Max Decline   2.98% 5.86% 17.48% 12.04% 12.48% 19.59% 22.85% 21.49% 29.13% 37.84% 17.51%
Avg Days To Max Decline   12 18 14 18 16 16 15 18 20 15 16
Avg Max Increase   -2.00% -3.36% -1.47% -1.70% -3.98% -3.70% -2.11% -2.39% -4.29% -2.66% -2.33%
Max Increase   -2.05% -5.79% -8.44% -6.90% -12.77% -14.75% -6.12% -7.75% -12.74% -14.44% -11.57%
Avg Days to Max Increase   15 12 3 10 16 19 11 10 16 12 4
2008 Contract Condition       Yes     Yes     Yes   Yes
Action       No     No     Yes   Not Yet
High 195.55 204.50 207.80 210.00 214.00 221.05 215.30 226.00 251.24 267.40 267.91 273.31
Low 181.36 186.47 197.86 196.90 202.75 210.85 198.61 207.94 215.43 246.00 242.00 239.75
Close/Last 194.86 202.79 204.18 203.01 211.24 215.87 206.34 221.31 250.88 246.75 263.69 252.91

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