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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, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   20 23 23 24 25 26 27 29 29 29 29
Closed Higher   12 11 11 9 12 11 12 21 21 16 15
Exceeded High   10 9 7 7 11 8 11 20 16 11 14
Scenario Percentage   83% 82% 64% 78% 92% 73% 92% 95% 76% 69% 93%
Avg Max Increase   7.53% 7.14% 10.50% 9.88% 8.60% 11.22% 13.15% 11.09% 11.04% 10.96% 6.42%
Max Increase   25.68% 17.53% 19.33% 16.91% 19.50% 28.10% 23.37% 41.95% 30.49% 24.23% 13.78%
Avg Days To Max Increase   14 15 27 12 16 11 14 18 17 17 17
Avg Max Decline   -1.28% -1.96% -2.52% -0.84% -1.91% -1.97% -1.36% -2.39% -3.03% -3.06% -1.94%
Max Decline   -4.78% -8.34% -4.20% -2.31% -7.49% -6.01% -5.30% -9.65% -15.01% -7.23% -5.19%
Avg Days to Max Decline   10 3 16 5 10 4 9 8 9 9 4
2008 Contract Condition     Yes Yes   Yes   Yes Yes Yes Yes Yes
Action     Yes Yes   Yes   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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   20 23 23 24 25 26 27 29 29 29 29
Closed Lower   8 12 12 15 13 15 15 8 8 13 14
Penetrated Low   5 10 11 11 10 10 10 7 7 10 10
Scenario Percentage   63% 83% 92% 73% 77% 67% 67% 88% 88% 77% 71%
Avg Max Decline   7.32% 7.80% 9.46% 11.82% 13.72% 12.32% 7.09% 7.33% 6.73% 8.11% 6.65%
Max Decline   16.29% 17.73% 22.03% 26.57% 36.41% 35.98% 20.69% 11.26% 9.68% 16.25% 19.71%
Avg Days To Max Decline   19 18 19 19 20 15 13 14 14 14 16
Avg Max Increase   -2.98% -1.33% -2.03% -1.17% -3.17% -1.08% -2.07% -2.62% -4.40% -1.82% -1.92%
Max Increase   -10.49% -5.00% -5.62% -6.30% -7.83% -4.68% -10.29% -5.92% -7.91% -8.30% -9.54%
Avg Days to Max Increase   16 10 9 8 8 3 11 14 19 8 4
2008 Contract Condition   Yes     Yes   Yes          
Action   No     Yes   No          
High 209.28 204.86 214.29 236.93 247.12 254.40 261.17 275.33 301.78 333.09 404.86 403.59
Low 201.65 191.40 198.25 207.00 231.25 231.07 233.34 236.75 270.08 280.69 309.78 356.49
Close/Last 206.12 196.59 210.26 236.93 233.00 252.24 246.96 274.54 285.21 318.25 369.27 391.00

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