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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November NY Harbor ULSD(NYM) as of Dec 31, 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 Sep
Tested Years   20 24 26 27 30 31 32 32 32 32 32
Closed Higher   9 12 12 14 23 21 17 16 19 17 21
Exceeded High   6 12 9 13 22 17 13 16 16 17 16
Scenario Percentage   67% 100% 75% 93% 96% 81% 76% 100% 84% 100% 76%
Avg Max Increase   9.03% 7.23% 11.70% 12.20% 12.56% 10.96% 9.25% 10.82% 15.30% 10.68% 5.15%
Max Increase   15.12% 17.61% 28.01% 23.28% 51.12% 53.09% 23.81% 24.96% 76.22% 39.38% 15.65%
Avg Days To Max Increase   12 14 12 15 19 16 15 16 19 13 13
Avg Max Decline   -1.91% -1.24% -1.48% -1.54% -2.27% -2.00% -1.50% -3.47% -2.63% -2.89% -2.25%
Max Decline   -7.40% -6.74% -4.81% -5.33% -8.88% -11.99% -5.77% -16.48% -8.55% -15.12% -13.24%
Avg Days to Max Decline   8 9 5 8 7 8 8 12 10 7 3
2010 Contract Condition   Yes     Yes Yes Yes   Yes Yes   Yes
Action   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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   20 24 26 27 30 31 32 32 32 32 32
Closed Lower   11 12 14 13 7 10 15 16 13 15 11
Penetrated Low   8 10 10 8 6 7 10 13 7 8 6
Scenario Percentage   73% 83% 71% 62% 86% 70% 67% 81% 54% 53% 55%
Avg Max Decline   8.71% 12.49% 10.47% 4.92% 5.85% 5.20% 7.64% 8.05% 11.86% 13.30% 10.51%
Max Decline   25.03% 32.60% 34.45% 18.95% 7.76% 8.08% 14.27% 19.18% 23.89% 41.36% 34.78%
Avg Days To Max Decline   19 18 15 8 13 13 15 18 17 12 12
Avg Max Increase   -1.17% -3.95% -1.56% -1.21% -2.74% -4.02% -0.96% -1.91% -4.75% -1.87% -1.32%
Max Increase   -5.51% -10.05% -6.01% -5.12% -5.55% -7.55% -6.77% -7.93% -19.87% -3.72% -3.89%
Avg Days to Max Increase   7 8 5 6 11 16 2 9 13 11 2
2010 Contract Condition     Yes Yes       Yes     Yes  
Action     Yes Yes       No     No  
High 232.53 230.53 228.90 232.67 220.91 228.40 243.95 247.32 225.11 214.53 226.30 227.07
Low 202.88 217.65 208.62 204.94 198.00 213.68 229.14 194.27 204.34 198.00 196.64 201.54
Close/Last 221.24 225.29 224.27 204.94 216.87 228.40 243.40 209.86 210.08 214.25 201.54 226.78

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