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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years 19 22 22 23 24 25 26 28 28 28 28
Closed Higher 12 10 10 9 11 11 11 20 20 15 14
Exceeded High 10 8 6 7 10 8 10 19 15 10 13
Scenario Percentage 83% 80% 60% 78% 91% 73% 91% 95% 75% 67% 93%
Avg Max Increase 7.53% 5.84% 11.03% 9.88% 8.54% 11.22% 12.37% 9.46% 9.97% 10.79% 6.43%
Max Increase 25.68% 14.16% 19.33% 16.91% 19.50% 28.10% 23.37% 21.02% 30.49% 24.23% 13.78%
Avg Days To Max Increase 14 14 27 12 15 11 13 17 17 18 18
Avg Max Decline -1.28% -2.01% -2.53% -0.84% -1.35% -1.97% -1.31% -2.43% -3.06% -3.02% -1.87%
Max Decline -4.78% -8.34% -4.20% -2.31% -3.99% -6.01% -5.30% -9.65% -15.01% -7.23% -5.19%
Avg Days to Max Decline 10 3 13 5 9 4 9 8 9 10 4
2007 Contract Condition       Yes     Yes Yes Yes   Yes
Action       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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years 19 22 22 23 24 25 26 28 28 28 28
Closed Lower 7 12 12 14 13 14 15 8 8 13 14
Penetrated Low 5 10 11 10 10 10 10 7 7 10 12
Scenario Percentage 71% 83% 92% 71% 77% 71% 67% 88% 88% 77% 86%
Avg Max Decline 7.32% 7.80% 9.46% 12.91% 13.72% 12.32% 7.09% 7.33% 6.73% 8.11% 10.22%
Max Decline 16.29% 17.73% 22.03% 26.57% 36.41% 35.98% 20.69% 11.26% 9.68% 16.25% 31.18%
Avg Days To Max Decline 19 18 19 21 20 15 13 14 14 14 15
Avg Max Increase -2.98% -1.33% -2.03% -1.19% -3.17% -1.08% -2.07% -2.62% -4.40% -1.82% -3.81%
Max Increase -10.49% -5.00% -5.62% -6.30% -7.83% -4.68% -10.29% -5.92% -7.91% -8.30% -20.32%
Avg Days to Max Increase 16 10 9 9 8 3 11 14 19 8 10
2007 Contract Condition Yes Yes Yes   Yes Yes       Yes  
Action Yes Yes Yes   Yes No       No  
High 224.05 208.24 189.52 190.50 190.59 177.00 182.01 194.01 196.30 197.62 207.50
Low 207.20 182.00 177.65 177.25 177.00 155.80 167.14 172.37 182.65 181.50 189.00
Close/Last 212.21 189.42 180.45 189.80 178.42 172.13 182.01 192.19 192.68 189.86 204.24

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