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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 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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   20 23 24 30 31 31 31 31 31 31 31
Closed Higher   16 16 12 16 19 17 19 17 13 17 10
Exceeded High   16 13 10 16 16 16 15 13 10 15 6
Scenario Percentage   100% 81% 83% 100% 84% 94% 79% 76% 77% 88% 60%
Avg Max Increase   11.02% 8.14% 9.90% 9.88% 11.55% 9.58% 8.66% 11.21% 16.06% 11.40% 12.14%
Max Increase   42.43% 29.78% 25.61% 24.85% 62.05% 33.12% 23.00% 25.47% 34.25% 41.13% 26.53%
Avg Days To Max Increase   19 18 20 17 17 17 14 19 14 16 14
Avg Max Decline   -2.38% -2.10% -1.49% -3.36% -1.27% -2.08% -2.20% -2.57% -2.42% -3.40% -2.15%
Max Decline   -8.64% -7.69% -5.71% -17.69% -8.00% -10.58% -10.07% -8.35% -8.24% -13.01% -9.43%
Avg Days to Max Decline   12 7 8 13 10 9 6 14 5 10 4
2010 Contract Condition   Yes   Yes Yes Yes     Yes Yes Yes  
Action   Yes   Yes Yes Yes     No 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   20 23 24 30 31 31 31 31 31 31 31
Closed Lower   4 7 12 14 11 14 12 14 18 14 21
Penetrated Low   2 4 8 11 6 9 8 13 18 12 12
Scenario Percentage   50% 57% 67% 79% 55% 64% 67% 93% 100% 86% 57%
Avg Max Decline   2.47% 4.56% 8.46% 4.97% 8.50% 10.87% 12.56% 15.04% 11.83% 15.76% 9.73%
Max Decline   2.98% 5.86% 17.48% 12.04% 23.72% 39.41% 42.24% 42.17% 29.99% 37.84% 20.51%
Avg Days To Max Decline   12 18 14 18 16 18 16 18 20 16 15
Avg Max Increase   -2.00% -3.36% -1.47% -1.70% -3.63% -2.87% -1.86% -2.65% -3.97% -3.63% -2.60%
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 13 17 10 9 15 12 4
2010 Contract Condition     Yes       Yes Yes       Yes
Action     No       Yes No       Yes
High 163.97 175.93 172.21 192.02 209.67 202.60 211.80 198.38 221.83 217.92 214.90 223.20
Low 138.00 139.76 155.56 162.93 194.33 171.34 192.50 180.56 184.35 197.78 193.00 190.05
Close/Last 151.53 162.34 160.65 191.82 200.61 201.01 194.35 192.64 207.81 210.34 212.19 191.30

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