MRCI's ScenarioSM Study

ScenarioSM Study for April 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	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years		4	14	17	20	24	24	25	25	25	25	25
Closed Higher		4	8	12	14	14	11	12	12	13	16	12
Exceeded High		4	6	12	12	13	9	7	9	13	13	12
Scenario Percentage		100%	75%	100%	86%	93%	82%	58%	75%	100%	81%	100%
Avg Max Increase		17.06%	10.54%	9.14%	11.27%	7.77%	7.44%	10.68%	14.68%	10.81%	13.86%	11.10%
Max Increase		28.83%	14.66%	27.24%	54.45%	28.85%	18.46%	17.20%	27.12%	33.52%	30.03%	24.67%
Avg Days To Max Increase		19	19	20	17	14	18	23	14	17	19	21
Avg Max Decline		0.17%	-2.91%	-2.07%	-1.06%	-1.17%	-2.76%	-2.21%	-1.75%	-1.79%	-5.85%	-4.04%
Max Decline		-2.21%	-11.05%	-11.95%	-7.78%	-8.21%	-9.33%	-5.20%	-8.51%	-9.66%	-17.22%	-10.79%
Avg Days to Max Decline		2	3	13	9	10	4	15	4	10	12	6
2010 Contract Condition		Yes	Yes	Yes	Yes			Yes	Yes	Yes		Yes
Action		Yes	Yes	Yes	Yes			No	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	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years		4	14	17	20	24	24	25	25	25	25	25
Closed Lower			6	5	6	10	12	12	13	12	9	13
Penetrated Low			2	3	4	7	8	9	11	7	5	8
Scenario Percentage			33%	60%	67%	70%	67%	75%	85%	58%	56%	62%
Avg Max Decline			5.70%	6.31%	11.33%	13.32%	15.30%	15.35%	12.57%	15.22%	16.17%	6.72%
Max Decline			9.25%	10.72%	23.96%	45.36%	51.97%	42.72%	29.87%	42.20%	36.09%	13.98%
Avg Days To Max Decline			12	21	19	18	18	17	19	19	11	12
Avg Max Increase			0.24%	-1.06%	-3.49%	-1.64%	0.43%	-2.31%	-2.31%	-3.99%	-1.13%	-1.45%
Max Increase			-1.14%	-3.81%	-11.01%	-10.38%	-2.69%	-6.20%	-12.42%	-11.22%	-7.10%	-5.94%
Avg Days to Max Increase			3	6	20	10	4	3	15	16	4	6
2010 Contract Condition						Yes	Yes				Yes
Action						Yes	No				Yes
High	170.78	169.70	195.08	210.29	206.96	214.25	205.11	227.15	223.46	222.25	229.72	223.40
Low	140.62	156.40	168.51	193.95	176.75	198.85	185.81	192.90	208.29	199.35	200.85	194.95
Close/Last	159.80	163.23	195.08	200.73	206.96	200.50	196.55	214.55	217.89	218.09	202.12	218.79