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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, 2013
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   7 18 20 22 25 26 27 27 27 27 27
Closed Higher   5 11 12 11 10 15 14 14 18 15 21
Exceeded High   4 11 11 10 8 10 11 14 17 15 17
Scenario Percentage   80% 100% 92% 91% 80% 67% 79% 100% 94% 100% 81%
Avg Max Increase   8.98% 8.72% 10.64% 8.06% 7.81% 10.66% 14.28% 12.27% 13.10% 19.27% 10.26%
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 23 16 18 19 18 19
Avg Max Decline   -0.42% -1.92% -0.99% -0.82% -1.74% -1.83% -1.59% -1.78% -4.93% -3.32% -2.64%
Max Decline   -3.30% -11.73% -7.94% -3.56% -7.87% -5.12% -8.63% -9.31% -17.17% -8.87% -8.74%
Avg Days to Max Decline   2 15 8 10 6 16 5 9 11 8 3
2012 Contract Condition       Yes     Yes Yes Yes Yes Yes Yes
Action       No     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   7 18 20 22 25 26 27 27 27 27 27
Closed Lower   2 7 8 11 14 11 13 13 9 12 6
Penetrated Low   1 5 5 6 10 9 11 8 5 8 4
Scenario Percentage   50% 71% 63% 55% 71% 82% 85% 62% 56% 67% 67%
Avg Max Decline   7.97% 6.67% 11.30% 15.05% 13.77% 14.62% 11.96% 14.06% 15.27% 8.03% 9.46%
Max Decline   7.97% 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   24 20 20 18 18 19 19 17 16 11 12
Avg Max Increase   -1.37% -3.72% -3.15% -0.38% 0.39% -2.32% -1.84% -3.65% -1.09% -4.06% -3.11%
Max Increase   -1.37% -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   9 16 15 7 8 3 14 16 6 17 2
2012 Contract Condition   Yes Yes   Yes Yes            
Action   Yes Yes   Yes Yes            
High 318.08 316.00 301.24 305.35 304.93 293.59 282.90 285.78 282.25 304.88 331.67 341.18
Low 300.36 279.28 273.50 285.05 264.73 256.48 249.00 263.61 262.30 279.58 296.24 321.58
Close/Last 318.08 297.18 290.25 301.00 291.10 256.48 273.24 274.01 276.26 298.79 325.07 330.81

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