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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October NY Harbor ULSD(NYM) as of Jan 01, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 20 23 25 27 27 28 28 30 30 30 30
Closed Higher 8 9 12 12 12 20 19 16 15 18 16
Exceeded High 5 7 12 8 11 19 15 13 15 14 14
Scenario Percentage 62% 78% 100% 67% 92% 95% 79% 81% 100% 78% 88%
Avg Max Increase 7.29% 9.27% 7.45% 13.12% 12.44% 11.23% 8.93% 9.46% 11.46% 17.78% 9.70%
Max Increase 10.87% 15.59% 17.88% 28.21% 23.24% 41.86% 27.24% 23.89% 26.34% 79.92% 40.09%
Avg Days To Max Increase 26 12 15 14 13 18 17 16 17 16 19
Avg Max Decline -1.68% -0.86% -1.31% -1.62% -1.21% -2.66% -2.62% -2.10% -3.67% -1.78% -1.49%
Max Decline -2.90% -2.23% -7.00% -4.92% -4.83% -9.29% -13.06% -6.25% -16.96% -8.90% -7.16%
Avg Days to Max Decline 8 7 9 5 9 6 9 8 13 6 4
2009 Contract Condition           Yes   Yes Yes    
Action           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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 20 23 25 27 27 28 28 30 30 30 30
Closed Lower 12 14 13 15 15 8 9 13 15 12 14
Penetrated Low 11 10 10 11 10 6 6 9 12 8 10
Scenario Percentage 92% 71% 77% 73% 67% 75% 67% 69% 80% 67% 71%
Avg Max Decline 10.27% 10.95% 13.09% 12.30% 5.89% 6.13% 6.16% 8.05% 7.27% 10.27% 18.00%
Max Decline 36.46% 25.20% 34.01% 34.78% 19.48% 8.79% 8.47% 15.09% 19.21% 23.53% 48.42%
Avg Days To Max Decline 19 20 19 16 9 14 13 13 20 17 19
Avg Max Increase -2.08% -0.91% -3.75% -0.35% -1.99% -2.87% -3.76% -1.04% -2.48% -4.89% -5.58%
Max Increase -5.11% -5.77% -9.83% -3.23% -9.26% -5.66% -7.19% -7.37% -8.21% -21.03% -23.33%
Avg Days to Max Increase 5 6 9 3 7 11 14 2 10 11 14
2009 Contract Condition Yes Yes Yes Yes Yes   Yes     Yes Yes
Action Yes Yes Yes Yes No   No     No Yes
High 299.40 236.00 186.09 181.78 158.25 164.63 160.17 179.55 197.54 192.19 199.77
Low 211.00 183.60 142.66 149.60 128.20 129.85 142.75 149.92 180.00 156.30 178.25
Close/Last 224.52 190.71 165.51 156.95 141.78 151.24 147.00 179.27 188.22 186.29 180.85

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