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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 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   6 17 19 21 24 25 26 26 26 26 26
Closed Higher   5 11 11 11 10 14 13 13 17 14 20
Exceeded High   4 11 11 10 8 9 10 13 16 14 15
Scenario Percentage   80% 100% 100% 91% 80% 64% 77% 100% 94% 100% 75%
Avg Max Increase   8.98% 8.72% 10.64% 8.06% 7.81% 11.34% 14.58% 11.67% 13.03% 20.02% 11.09%
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   16 16 16 15 16 25 15 18 19 19 19
Avg Max Decline   -0.42% -1.92% -0.99% -0.82% -1.74% -1.74% -1.32% -2.01% -5.18% -3.55% -2.35%
Max Decline   -3.30% -11.73% -7.94% -3.56% -7.87% -5.12% -8.63% -9.31% -17.17% -8.87% -8.55%
Avg Days to Max Decline   2 15 8 10 6 17 4 9 11 9 3
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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   6 17 19 21 24 25 26 26 26 26 26
Closed Lower   1 6 8 10 13 11 13 13 9 12 6
Penetrated Low     4 5 5 9 9 11 8 5 8 4
Scenario Percentage   0% 67% 63% 50% 69% 82% 85% 62% 56% 67% 67%
Avg Max Decline     6.13% 11.30% 15.17% 14.97% 14.62% 11.96% 14.06% 15.27% 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 21 20 19 19 17 16 11 12
Avg Max Increase     -3.35% -3.15% -0.29% 0.40% -2.32% -1.84% -3.65% -1.09% -4.06% -3.11%
Max Increase     -7.88% -10.59% -2.70% -2.95% -5.02% -12.19% -9.03% -6.84% -10.04% -5.59%
Avg Days to Max Increase     15 15 7 8 3 14 16 6 17 2
2011 Contract Condition   Yes Yes   Yes              
Action   No Yes   No              
High 247.51 250.82 223.81 220.85 228.83 223.36 232.13 238.32 254.61 267.64 304.06 312.00
Low 234.99 201.84 209.30 203.73 201.22 209.74 220.90 220.68 233.65 248.49 257.65 278.00
Close/Last 247.47 214.13 212.11 220.85 207.78 223.36 223.77 229.79 252.89 264.96 290.91 310.77

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