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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June NY Harbor ULSD(NYM) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 19 21 22 23 23 27 28 28 28 28 28
Closed Higher 9 15 14 12 9 12 14 12 12 20 22
Exceeded High 9 13 13 8 7 8 12 8 11 19 14
Scenario Percentage 100% 87% 93% 67% 78% 67% 86% 67% 92% 95% 64%
Avg Max Increase 10.64% 10.64% 7.71% 6.52% 11.05% 12.89% 8.81% 12.40% 12.75% 10.60% 7.97%
Max Increase 22.79% 53.12% 27.06% 14.52% 21.26% 22.51% 24.36% 27.54% 26.61% 23.23% 20.55%
Avg Days To Max Increase 17 15 14 17 23 15 18 14 13 17 17
Avg Max Decline -0.80% -0.48% -0.97% -1.21% -2.36% -1.81% -1.75% -2.57% -2.08% -2.41% -1.76%
Max Decline -2.89% -3.20% -5.65% -6.97% -5.28% -8.11% -4.46% -6.67% -6.97% -7.62% -5.80%
Avg Days to Max Decline 11 9 9 3 9 6 11 7 7 4 4
2007 Contract Condition Yes Yes       Yes     Yes Yes Yes
Action 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 19 21 22 23 23 27 28 28 28 28 28
Closed Lower 10 6 8 11 14 15 14 16 16 8 6
Penetrated Low 8 4 5 9 13 12 11 12 12 7 5
Scenario Percentage 80% 67% 62% 82% 93% 80% 79% 75% 75% 88% 83%
Avg Max Decline 4.40% 4.70% 7.49% 8.87% 10.66% 11.39% 13.97% 12.65% 6.76% 8.15% 15.66%
Max Decline 13.21% 10.02% 16.55% 19.39% 21.94% 26.49% 38.28% 35.51% 22.32% 14.21% 55.02%
Avg Days To Max Decline 14 17 20 18 19 22 21 16 12 10 9
Avg Max Increase -2.14% -4.06% -3.84% -1.58% -2.14% -2.39% -3.34% -2.10% -2.36% -3.25% -2.14%
Max Increase -6.80% -8.83% -12.29% -5.89% -6.14% -8.57% -9.29% -6.16% -10.34% -6.00% -5.13%
Avg Days to Max Increase 6 17 23 8 6 12 11 6 10 10 3
2007 Contract Condition     Yes Yes Yes   Yes Yes      
Action     Yes Yes Yes   Yes No      
High 212.25 221.60 222.75 207.50 186.77 188.30 188.14 172.80 179.00 191.18 193.38
Low 200.59 211.20 203.90 179.50 174.25 173.93 172.40 151.43 162.10 167.15 177.15
Close/Last 210.11 215.71 208.81 186.67 177.40 187.30 174.12 168.28 178.06 188.49 189.48

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