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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for April RBOB Gasoline(NYM) as of Dec 30, 2011
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   5 15 18 21 25 25 26 26 26 26 26
Closed Higher   5 8 12 15 14 12 13 13 14 17 13
Exceeded High   5 6 12 13 13 10 8 10 14 14 13
Scenario Percentage   100% 75% 100% 87% 93% 83% 62% 77% 100% 82% 100%
Avg Max Increase   13.92% 10.54% 9.14% 10.71% 7.77% 7.34% 11.12% 14.87% 11.48% 14.09% 10.78%
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   16 19 20 16 14 17 24 15 17 18 20
Avg Max Decline   0.40% -2.91% -2.07% -0.82% -1.17% -2.63% -2.13% -1.55% -1.78% -5.66% -3.74%
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 8 10 6 16 4 9 11 5
2011 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   5 15 18 21 25 25 26 26 26 26 26
Closed Lower     7 6 6 11 12 12 13 12 9 13
Penetrated Low     2 4 4 7 8 9 11 7 5 8
Scenario Percentage     29% 67% 67% 64% 67% 75% 85% 58% 56% 62%
Avg Max Decline     5.70% 5.96% 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 22 19 18 18 17 19 19 11 12
Avg Max Increase     0.24% -2.88% -3.49% -1.64% 0.43% -2.31% -2.31% -3.99% -1.13% -1.45%
Max Increase     -1.14% -8.35% -11.01% -10.38% -2.69% -6.20% -12.42% -11.22% -7.10% -5.94%
Avg Days to Max Increase     3 13 20 10 4 3 15 16 4 6
2011 Contract Condition     Yes Yes   Yes            
Action     No Yes   No            
High 231.48 246.27 249.61 222.86 219.90 228.73 222.60 231.84 236.79 254.33 267.00 303.54
Low 220.75 234.04 199.00 208.19 202.69 200.79 208.62 219.45 219.25 229.62 248.10 255.73
Close/Last 231.48 246.27 212.95 211.11 219.90 206.54 222.60 222.77 229.01 252.52 263.94 289.27

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