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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for April 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   21 23 28 28 29 30 30 30 31 31 31
Closed Higher   15 11 15 18 16 18 16 12 16 13 14
Exceeded High   13 9 15 16 15 12 11 9 15 9 14
Scenario Percentage   87% 82% 100% 89% 94% 67% 69% 75% 94% 69% 100%
Avg Max Increase   7.52% 10.43% 9.97% 10.87% 8.91% 8.17% 10.53% 15.17% 10.07% 14.55% 10.48%
Max Increase   30.75% 26.14% 23.82% 59.17% 31.26% 19.36% 23.56% 28.14% 37.61% 28.18% 27.13%
Avg Days To Max Increase   16 19 18 16 15 15 22 15 17 13 17
Avg Max Decline   -1.94% -1.03% -3.05% -0.98% -1.68% -1.73% -2.85% -2.55% -3.36% -3.22% -2.87%
Max Decline   -6.43% -4.54% -14.40% -7.62% -8.59% -8.11% -8.29% -8.28% -10.05% -8.26% -9.12%
Avg Days to Max Decline   7 9 14 9 9 6 15 5 13 7 5
2010 Contract Condition     Yes Yes Yes     Yes Yes Yes   Yes
Action     Yes Yes Yes     No 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   21 23 28 28 29 30 30 30 31 31 31
Closed Lower   6 12 13 10 13 12 14 18 15 18 17
Penetrated Low   3 8 10 5 7 10 13 17 14 13 13
Scenario Percentage   50% 67% 77% 50% 54% 83% 93% 94% 93% 72% 76%
Avg Max Decline   4.11% 7.58% 4.12% 9.09% 12.18% 10.19% 14.08% 12.97% 14.10% 13.01% 6.12%
Max Decline   5.22% 13.97% 11.24% 23.54% 38.98% 42.56% 41.36% 30.25% 36.13% 22.36% 13.25%
Avg Days To Max Decline   19 12 11 17 18 15 18 21 20 13 10
Avg Max Increase   -3.86% -1.58% -1.78% -4.11% -2.70% -3.86% -2.26% -2.97% -4.19% -3.19% -0.84%
Max Increase   -5.93% -8.90% -7.45% -12.41% -13.21% -15.93% -6.84% -11.89% -13.07% -11.25% -6.19%
Avg Days to Max Increase   10 3 6 16 13 14 6 13 13 6 3
2010 Contract Condition   Yes       Yes Yes       Yes  
Action   No       Yes No       Yes  
High 175.83 172.38 192.40 209.30 202.92 211.23 198.65 221.22 218.50 215.98 223.31 210.00
Low 139.56 157.00 163.33 195.00 171.90 193.40 181.61 186.95 201.55 194.10 190.69 183.50
Close/Last 162.39 161.20 192.17 200.81 201.86 195.10 193.57 208.30 211.62 212.63 191.94 203.53

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