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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May RBOB Gasoline(NYM) as of Jan 01, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years 4 15 17 19 22 23 24 24 24 24 24
Closed Higher 4 10 9 11 9 12 11 12 16 12 18
Exceeded High 3 10 9 10 7 8 8 12 15 12 14
Scenario Percentage 75% 100% 100% 91% 78% 67% 73% 100% 94% 100% 78%
Avg Max Increase 9.43% 8.92% 12.21% 8.06% 7.97% 11.03% 15.53% 10.96% 12.71% 21.25% 11.16%
Max Increase 14.52% 26.43% 52.64% 28.22% 17.98% 17.01% 24.88% 26.92% 31.39% 47.38% 22.82%
Avg Days To Max Increase 17 18 18 15 17 24 14 17 18 20 20
Avg Max Decline -1.13% -0.94% -1.72% -0.82% -1.83% -1.79% -0.78% -2.03% -5.34% -3.58% -3.08%
Max Decline -3.30% -6.34% -7.94% -3.56% -7.87% -5.12% -2.64% -9.31% -17.17% -8.87% -8.74%
Avg Days to Max Decline 2 15 9 10 4 17 3 10 12 9 4
2009 Contract Condition Yes Yes             Yes Yes Yes
Action Yes Yes             Yes Yes No
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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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years 4 15 17 19 22 23 24 24 24 24 24
Closed Lower   5 8 8 12 11 13 12 8 12 6
Penetrated Low   3 5 4 9 9 11 7 4 8 4
Scenario Percentage   60% 62% 50% 75% 82% 85% 58% 50% 67% 67%
Avg Max Decline   6.47% 11.30% 17.14% 14.97% 14.62% 11.96% 14.58% 18.22% 8.03% 9.46%
Max Decline   11.29% 23.72% 45.12% 51.46% 41.40% 28.66% 40.25% 34.05% 17.21% 14.32%
Avg Days To Max Decline   22 20 20 20 19 19 19 19 11 12
Avg Max Increase   -1.83% -3.15% 0.21% 0.40% -2.32% -1.84% -3.43% 0.35% -4.06% -3.11%
Max Increase   -3.67% -10.59% -2.70% -2.95% -5.02% -12.19% -9.03% -1.66% -10.04% -5.59%
Avg Days to Max Increase   9 15 5 8 3 14 17 6 17 2
2009 Contract Condition     Yes Yes Yes Yes Yes Yes      
Action     Yes Yes Yes Yes Yes No      
High 344.38 364.00 375.72 327.50 294.32 258.25 184.76 140.65 143.94 140.57 155.46
Low 285.27 317.24 320.77 298.22 248.08 167.50 129.59 104.42 120.50 112.99 125.61
Close/Last 328.07 362.66 325.24 305.22 266.97 178.19 146.36 128.60 136.42 137.25 142.13

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