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