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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 Jan 01, 2013
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   6 16 19 22 26 26 27 27 27 27 27
Closed Higher   6 8 12 16 14 12 14 14 15 18 14
Exceeded High   5 6 12 13 13 10 9 11 15 15 13
Scenario Percentage   83% 75% 100% 81% 93% 83% 64% 79% 100% 83% 93%
Avg Max Increase   13.92% 10.54% 9.14% 10.71% 7.77% 7.34% 10.42% 14.61% 12.06% 13.54% 10.54%
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 22 16 18 16 20
Avg Max Decline   0.40% -2.91% -2.07% -0.82% -1.17% -2.63% -2.23% -1.79% -1.61% -4.47% -2.93%
Max Decline   -2.21% -11.05% -11.95% -7.78% -8.21% -9.33% -5.20% -8.51% -9.66% -17.22% -9.62%
Avg Days to Max Decline   2 3 13 8 10 6 14 5 9 6 5
2012 Contract Condition   Yes     Yes     Yes Yes Yes Yes Yes
Action   No     No     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   6 16 19 22 26 26 27 27 27 27 27
Closed Lower     8 7 6 12 13 12 13 12 9 13
Penetrated Low     3 5 4 8 9 9 11 7 5 8
Scenario Percentage     38% 71% 67% 67% 69% 75% 85% 58% 56% 62%
Avg Max Decline     6.49% 6.86% 11.33% 13.48% 13.92% 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     16 19 19 16 16 17 19 19 11 12
Avg Max Increase     -0.30% -3.34% -3.49% -1.55% 0.40% -2.31% -2.31% -3.99% -1.13% -1.45%
Max Increase     -1.39% -8.35% -11.01% -10.38% -2.69% -6.20% -12.42% -11.22% -7.10% -5.94%
Avg Days to Max Increase     5 15 20 9 4 3 15 16 4 6
2012 Contract Condition     Yes Yes   Yes Yes          
Action     Yes Yes   Yes Yes          
High 298.26 318.43 317.10 301.31 305.38 300.84 294.44 284.20 286.84 283.46 307.01 332.70
Low 274.51 300.31 279.41 273.20 285.05 260.00 256.55 249.33 263.50 262.43 279.19 297.11
Close/Last 298.26 318.43 297.18 290.39 300.98 291.86 256.90 273.70 274.02 276.81 300.43 325.72

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