MRCI's ScenarioSM Study

ScenarioSM Study for January RBOB Gasoline(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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		7	15	17	18	21	25	25	26	26	26	26
Closed Higher		3	10	13	13	11	12	18	13	16	14	10
Exceeded High		2	9	13	12	9	12	16	12	15	9	7
Scenario Percentage		67%	90%	100%	92%	82%	100%	89%	92%	94%	64%	70%
Avg Max Increase		8.33%	11.38%	9.78%	9.69%	8.88%	9.34%	12.40%	9.75%	7.00%	11.15%	9.64%
Max Increase		13.08%	21.47%	26.16%	34.34%	15.81%	30.83%	64.52%	32.03%	20.91%	20.41%	14.22%
Avg Days To Max Increase		15	16	15	17	22	18	19	16	11	20	23
Avg Max Decline		-9.72%	-0.55%	-2.65%	-1.90%	-2.43%	-3.10%	-1.49%	-3.24%	-2.89%	-2.31%	-3.14%
Max Decline		-16.28%	-4.88%	-8.85%	-8.17%	-5.72%	-14.30%	-8.98%	-12.01%	-13.00%	-6.97%	-6.96%
Avg Days to Max Decline		17	10	8	8	7	14	11	9	5	13	5
2010 Contract Condition		Yes		Yes	Yes	Yes	Yes	Yes			Yes	Yes
Action		Yes		Yes	Yes	Yes	Yes	Yes			No	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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		7	15	17	18	21	25	25	26	26	26	26
Closed Lower		4	5	3	5	10	13	7	13	10	12	16
Penetrated Low		2	1	1	3	5	8	5	8	6	9	12
Scenario Percentage		50%	20%	33%	60%	50%	62%	71%	62%	60%	75%	75%
Avg Max Decline		5.17%	8.18%	3.54%	5.52%	8.45%	6.62%	11.58%	14.17%	18.81%	18.71%	12.75%
Max Decline		6.92%	8.18%	3.54%	6.33%	11.97%	15.29%	25.96%	49.96%	58.32%	48.71%	35.10%
Avg Days To Max Decline		12	17	19	15	14	19	20	20	18	20	17
Avg Max Increase		-4.03%	-0.16%	-1.29%	-3.73%	-0.33%	-2.56%	-4.04%	-1.07%	-0.60%	-3.08%	-1.56%
Max Increase		-5.27%	-0.16%	-1.29%	-6.58%	-1.24%	-8.83%	-12.80%	-3.73%	-4.24%	-7.98%	-12.20%
Avg Days to Max Increase		2	2	29	13	4	7	16	12	3	3	4
2010 Contract Condition			Yes						Yes	Yes
Action			No						Yes	No
High	139.32	141.77	134.50	151.38	149.55	176.18	192.22	189.70	196.70	188.96	211.73	207.85
Low	108.22	125.31	112.07	121.02	134.50	146.08	174.90	156.08	179.33	166.00	172.09	188.90
Close/Last	131.85	133.87	130.10	139.65	143.08	176.18	182.13	189.60	183.00	178.93	198.13	201.15