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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   20 23 25 25 27 28 29 29 29 29 29
Closed Higher   16 14 15 11 12 12 12 13 21 22 16
Exceeded High   13 13 11 9 9 11 9 12 20 18 9
Scenario Percentage   81% 93% 73% 82% 75% 92% 75% 92% 95% 82% 56%
Avg Max Increase   10.43% 7.05% 8.54% 10.25% 10.66% 9.22% 10.75% 12.65% 11.46% 10.45% 8.71%
Max Increase   51.79% 26.41% 26.16% 20.60% 19.67% 21.36% 27.58% 25.97% 41.58% 29.68% 17.24%
Avg Days To Max Increase   16 14 16 21 13 16 12 14 16 16 18
Avg Max Decline   -0.89% -0.81% -1.74% -2.07% -1.43% -1.94% -2.12% -1.53% -2.14% -3.11% -1.75%
Max Decline   -7.21% -6.28% -8.40% -4.74% -8.27% -7.42% -6.29% -5.57% -6.55% -16.05% -7.53%
Avg Days to Max Decline   10 9 4 13 6 13 6 7 7 8 7
2008 Contract Condition   Yes   Yes Yes   Yes   Yes Yes Yes Yes
Action   Yes   Yes Yes   Yes   Yes Yes Yes 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   20 23 25 25 27 28 29 29 29 29 29
Closed Lower   4 9 10 14 15 15 17 16 8 7 13
Penetrated Low   3 5 8 13 12 13 11 12 7 6 11
Scenario Percentage   75% 56% 80% 93% 80% 87% 65% 75% 88% 86% 85%
Avg Max Decline   5.62% 7.32% 8.23% 11.05% 12.76% 12.82% 12.14% 6.47% 7.85% 6.26% 5.88%
Max Decline   9.61% 16.40% 18.46% 21.91% 29.86% 38.04% 35.18% 20.99% 12.60% 9.83% 12.36%
Avg Days To Max Decline   21 21 15 18 19 20 15 13 14 13 13
Avg Max Increase   -4.23% -3.49% -1.57% -1.97% -1.73% -2.97% -2.04% -2.41% -2.92% -4.17% -1.75%
Max Increase   -8.51% -11.01% -5.67% -5.82% -7.39% -9.10% -6.56% -11.47% -5.99% -8.06% -8.98%
Avg Days to Max Increase   25 24 8 7 11 9 7 10 7 18 2
2008 Contract Condition     Yes     Yes   Yes        
Action     No     Yes   No        
High 203.32 207.53 203.41 214.50 236.98 247.91 254.65 261.46 275.60 301.29 332.62 403.38
Low 194.53 200.10 189.95 196.70 206.30 231.02 230.18 233.43 236.00 269.61 280.70 308.22
Close/Last 199.39 204.72 195.19 210.11 236.98 233.00 252.14 246.51 274.34 284.91 317.05 366.67

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